How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades
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- Henao-Londono, Juan C. & Guhr, Thomas, 2022. "Foreign exchange markets: Price response and spread impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
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This paper has been announced in the following NEP Reports:- NEP-MST-2019-01-14 (Market Microstructure)
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