@article{measuringpriceimpactandinformation,
  title = {Measuring price impact and information content of trades in a time-varying setting},
  author = {F. Campigli and G. Bormetti and F. Lillo},
  year = {2022},
  eprint = {2212.12687},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2212.12687v2},
}