The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books
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- Damien Challet, 2007. "The tick-by-tick dynamical consistency of price impact in limit order books," Papers physics/0702210, arXiv.org, revised Jan 2010.
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- Challet, Damien, 2008. "Feedback and efficiency in limit order markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3831-3836.
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KeywordsLimit order markets; efficiency; market impact; consistency condition; arbitrage;
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