Real-time market microstructure analysis: online transaction cost analysis

Author: Azencott R.   Beri A.   Gadhyan Y.   Joseph N.   Lehalle C.-A.   Rowley M.  

Publisher: Routledge Ltd

ISSN: 1469-7688

Source: Quantitative Finance, Vol.14, Iss.7, 2014-07, pp. : 1167-1185

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