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Mertens, Luca Philippe, Ciacci, Alberto, Lillo, Fabrizio and Livieri, Giulia ORCID: 0000-0002-3777-7329
(2021)
Liquidity fluctuations and the latent dynamics of price impact.
Quantitative Finance, 22 (1).
pp. 149-169.
ISSN 1469-7688