The self-exciting nature of the bid-ask spread dynamics¶

Bibliographic record. Follow the original-source link for the publication.

Field	Value
Topics	microstructure, execution_costs
Authors	Ruihua Ruan, Emmanuel Bacry, Jean-François Muzy
Published	2023-06-06
Source	arXiv Quantitative Finance History
Identifiers	arxiv:2303.02038
URL	Open original source

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