High price impact trades identification and its implication for volatility and price efficiency

Georges Dionne, Xiaozhou Zhou

Year of publication:	[2024]
Authors:	Dionne, Georges ; Zhou, Xiaozhou
Publisher:	[Montréal] : [Canada Research Chair in Risk Management]
Subject:	Matched trades \| Limit Order Book \| Price efficiency \| Price discovery \| Börsenkurs \| Share price \| Volatilität \| Volatility \| Wertpapierhandel \| Securities trading \| Elektronisches Handelssystem \| Electronic trading \| Theorie \| Theory \| Effizienzmarkthypothese \| Efficient market hypothesis

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