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Impact is not just volatility
Bucci, Frédéric, Mastromatteo, Iacopo, Benzaquen, Michael, Bouchaud, Jean-PhilippeLanguage:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2019.1622768
Date:
July, 2019
File:
PDF, 692 KB
english, 2019