Relation between bid–ask spread, impact and volatility in order-driven markets
Author:
Affiliation:
1. a Science & Finance , Capital Fund Management , 6 Bvd Haussmann, 75009 Paris , France
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697680701344515
Reference52 articles.
1. Bid-ask spreads in the interbank foreign exchange markets
2. Issues in assessing trade execution costs
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