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Abstract: A consistency criterion for price impact functions in limit order markets isproposed that prohibits chain arbitrage exploitation. Both the bid-ask spreadand the feedback of sequential market orders of the same kind onto both sidesof the order book are essential to ensure consistency at the smallest timescale. All the stocks investigated in Paris Stock Exchange have consistentprice impact functions.



Autor: Damien Challet

Fuente: https://arxiv.org/







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