Distilling liquidity costs from limit order books

Diego Amaya, Jean-Yves Filbien, Cédric Okou and Alexandre Roch
Additional contact information
Diego Amaya: WLU - Wilfrid Laurier University
Jean-Yves Filbien: Université de Lille
Cédric Okou: UQAM - Université du Québec à Montréal = University of Québec in Montréal
Alexandre Roch: UQAM - Université du Québec à Montréal = University of Québec in Montréal

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Date: 2018-09
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Published in Journal of Banking and Finance, 2018, 94, pp.16-34. ⟨10.1016/j.jbankfin.2018.06.009⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04409561

DOI: 10.1016/j.jbankfin.2018.06.009

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