Challet, Damien 2008-01-26 A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the order book are essential to ensure consistency at the smallest time scale. All the stocks investigated in Paris Stock Exchange have consistent price impact functions. application/pdf https://folia.unifr.ch/global/documents/300630 https://folia.unifr.ch/documents/300630/files/challet_fel.pdf eng info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2008.01.086 info:eu-repo/semantics/openAccess License undefined Physica A: Statistical Mechanics and its Applications. - 2008, vol. 387, no. 15, p. 3831-3836 Limit order markets efficiency arbitrage feedback data analysis econophysics info:eu-repo/classification/udc/53 Feedback and efficiency in limit order markets http://purl.org/coar/resource_type/c_6501