FOUCAULT, Thierry; RÖELL, Ailsa; SANDAS, Patrik - HEC Paris (École des Hautes Études Commerciales) - 1999
quoted depth will reduce the spread and speculators' trading frequency. Our analysis is relevant for the SOES debate given … that the behavior of speculators in our model is very similar to the alleged behavior of the real world SOES bandits. …