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The effects of trade size and market depth on immediate price impact in a limit order book market (2020)

First Author: Pham M C

Attributed to: Bilateral Austria: Order Book Foundations of Price Risks and Liquidity: An Integrated Equity and Derivatives Markets Perspective funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Publication URI: https://doi.org/10.1016/j.jedc.2020.103992

Type: Journal Article/Review

Volume: 120

Parent Publication: Journal of Economic Dynamics and Control