Relation between bid–ask spread, impact and volatility in order-driven markets

DOI10.1080/14697680701344515zbMath1140.91414arXivphysics/0603084OpenAlexW2120211239MaRDI QIDQ3518387

Matthieu Wyart, Jean-Philippe Bouchaud, Marc Potters, Michele Vettorazzo, Julien Kockelkoren

Publication date: 7 August 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0603084

zbMATH Keywords

microstructureimpactliquiditybid-ask spread

Mathematics Subject Classification ID

Related Items (23)

The inelastic market hypothesis: a microstructural interpretation ⋮ Discovering stock dynamics through multidimensional volatility phases ⋮ A continuous and efficient fundamental price on the discrete order book grid ⋮ Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities ⋮ Neural network copula portfolio optimization for exchange traded funds ⋮ Theoretical and empirical analysis of trading activity ⋮ A Mean-Field Game of Market-Making against Strategic Traders ⋮ Optimal make–take fees for market making regulation ⋮ A Leland model for delta hedging in central risk books ⋮ Endogenous liquidity crises ⋮ Internalisation by electronic FX spot dealers ⋮ Are trading invariants really invariant? Trading costs matter ⋮ Modeling the coupled return-spread high frequency dynamics of large tick assets ⋮ Optimal Market Making with Persistent Order Flow ⋮ The self-financing equation in limit order book markets ⋮ A fully consistent, minimal model for non-linear market impact ⋮ Diffusive behavior and the modeling of characteristic times in limit order executions ⋮ Learning multi-market microstructure from order book data ⋮ Optimal Make-Take Fees in a Multi Market-Maker Environment ⋮ Trading strategy with stochastic volatility in a limit order book market ⋮ Limit theorems for nearly unstable Hawkes processes ⋮ Limit order books ⋮ High-frequency trading model for a complex trading hierarchy

Cites Work

• Order book approach to price impact
• There's more to volatility than volume
• Continuous Auctions and Insider Trading
• Empirical Analysis of Limit Order Markets
• Random walks, liquidity molasses and critical response in financial markets

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