Distilling Liquidity Costs from Limit Order Books

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SSRN Electronic Journal 2015

Distilling Liquidity Costs from Limit Order Books

Amaya, Diego, Filbien, Jean-Yves, Okou, Cedric, Roch, Alexandre F.
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Year:
2015
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2660226
File:
PDF, 1.10 MB
english, 2015
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