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The nature of price returns during periods of high market activity. (2010). al Dayri, Khalil ; Muzy, Jean-Francois ; Bacry, Emmanuel.
In: Papers.
RePEc:arx:papers:1010.4226.

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  9. Jim Gatheral. No-dynamic-arbitrage and market impact. Quantitative Finance, 10(7):749 759, 2010.

  10. László Gillemot, J. Doyne Farmer, and Fabrizio Lillo. There's more to volatility than volume. Quantitative Finance, 6(5):371384, 2006.
    Paper not yet in RePEc: Add citation now
  11. M. M. Dacorogna, R. Gençay, U. A. Müller, R. B. Olsen, and O. V. Pictet. An introduction to high frequency finance. Academic Press, 2001.

  12. Matthieu Wyart, Jean-Philippe Bouchaud, Julien Kockelkoren, Marc Potters, and Michele Vettorazzo. Relation between bid-ask spread, impact and volatility in order-driven markets. Quantitative Finance, 8(1):4157, 2008.

  13. Robert Almgren, Chee Thum, Emmanuel Hauptmann, and Hong Li. Direct estimation of equity market impact. Risk, July 2005.
    Paper not yet in RePEc: Add citation now
  14. Zoltan Eisler, Bouchaud Jean-Philippe, and Julien Kockelkoren. The price impact of order book events: market orders, limit orders and cancellations. Quantitative finance papers, arXiv.org, 2010.

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