Market Microstructure Invariance: Empirical Hypotheses
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Publication:4613426
DOI10.3982/ECTA10486zbMath1420.91421OpenAlexW3122403534MaRDI QIDQ4613426
Albert S. Kyle, A. A. Obizhaeva
Publication date: 31 January 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta10486
invarianceorder sizetransaction costsliquiditybid-ask spreadmarket microstructuremarket impactstructural estimation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)
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