Liquidity crisis, granularity of the order book and price fluctuations

Matthieu Cristelli, V. Alfi, L. Pietronero and A. Zaccaria

The European Physical Journal B: Condensed Matter and Complex Systems, 2010, vol. 73, issue 1, 41-49

Date: 2010
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Working Paper: Liquidity Crisis, Granularity of the Order Book and Price Fluctuations (2009)
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DOI: 10.1140/epjb/e2009-00353-6

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