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More statistical properties of order books and price impact - MaRDI portal

More statistical properties of order books and price impact (Q1873946)

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More statistical properties of order books and price impact
scientific article

    Statements

    title
    More statistical properties of order books and price impact (English)
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    author
    Marc Potters
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    Jean-Philippe Bouchaud
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    published in
    Physica A
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    publication date
    21 May 2003
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    zbMATH Keywords
    incoming limitorder prices
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    limit-order life time
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    price impact function
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    Identifiers

    zbMATH DE Number
    1914392
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    arXiv ID
    cond-mat/0210710
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