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[IEEE 2016 Systems and Information Engineering Design Symposium (SIEDS) - Charlottesville, VA, USA (2016.4.29-2016.4.29)] 2016 IEEE Systems and Information Engineering Design Symposium (SIEDS) - Effect of order flow imbalance on market impact across market states
Kromkowski, Andrew, Montgomery, Mason, Saha, Kaustav, Wu, Feiyin, Beling, PeterYear:
2016
Language:
english
DOI:
10.1109/sieds.2016.7489318
File:
PDF, 962 KB
english, 2016