Unravelling the trading invariance hypothesis
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Cited by:
- Justin Sirignano & Rama Cont, 2018. "Universal features of price formation in financial markets: perspectives from Deep Learning," Papers 1803.06917, arXiv.org.
- Justin Sirignano & Rama Cont, 2018. "Universal features of price formation in financial markets: perspectives from Deep Learning," Working Papers hal-01754054, HAL.
- Frédéric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Are trading invariants really invariant? Trading costs matter," Post-Print hal-02323318, HAL.
- Fr'ed'eric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Are trading invariants really invariant? Trading costs matter," Papers 1902.03457, arXiv.org.
- Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2018. "Theoretical and empirical analysis of trading activity," Papers 1803.04892, arXiv.org, revised Oct 2018.
- Frédéric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Are trading invariants really invariant? Trading costs matter," Working Papers hal-02323318, HAL.
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This paper has been announced in the following NEP Reports:- NEP-MST-2016-02-23 (Market Microstructure)
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