Price impact and bursts in liquidity provision
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DOI: 10.1080/14697688.2017.1420209
Abstract: This paper analyses brief episodes of high-intensity quote turnover and revision—‘bursts’ in quotes—in the US equity market. Such events occur very frequently, several hundred times a day for actively traded stocks. We find significant price… read more here.
Keywords: market makers; order; market; price impact ... See more keywords