Tick size reduction and price clustering in a FX order book
Year of publication: |
2014
|
---|---|
Authors: | Lallouache, Mehdi ; Abergel, Frédéric |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 416.2014, C, p. 488-498
|
Publisher: |
Elsevier |
Subject: | Market microstructure | Foreign exchange | Order book | Order flow | Price clustering | Tick size |
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