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Price impact asymmetry of futures trades: Trade direction and trade size

✍ Scribed by Ryu, Doojin

Book ID
123043029
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
424 KB
Volume
14
Category
Article
ISSN
1566-0141

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The author wishes to thank Robert I. Webb (the editor) and an anonymous referee for very helpful comments, as well as Charles Bartlett from SIFMA for providing part of the data. Financial support from Citi Foundation is gratefully acknowledged.

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