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Time and price impact of a trade: A structural approach. (2007). Theissen, Erik ; Wuensche, Oliver ; Grammig, Joachim.
In: CFR Working Papers.
RePEc:zbw:cfrwps:0712.

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Cites: 21

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Cocites: 50

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  1. Limit order books and trade informativeness. (2011). Menkveld, Albert ; Grammig, Joachim G. ; BELTRAN-LOPEZ, Helena .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201109.

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References

References cited by this document

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  18. Huang, R.D., and H.R. Stoll, 1997, The components of the bid-ask spread: A general approach, Review of Financial Studies 10, 995â1034.

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  13. High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market. (2004). Tyurin, Konstantin.
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