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      Understanding the ex-ante cost of liquidity in the limit order book: A note 

      Martínez Sedano, Miguel Ángel; Rubio Irigoyen, Gonzalo; Tapia, Mikel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-01)
      This paper estimates a new measure of liquidity costs in a market driven by orders. It represents thecost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity ...