منابع مشابه
An Extended Model of Effective Bid-ask Spread
In this paper we present an extended model for the estimation of effective bid-ask spread that improves the existing models and offers a new direction of generalisation. The quoted bid-ask spread represents the prices available at a given time for transactions only up to some relatively small amount. Moreover, it is observed that large trades are usually made at “worse” prices. Thus, we extend ...
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a r t i c l e i n f o In this work we propose a simple market model where some features of the Specialist System are analyzed. In particular, the specialist's obligation to display bid/ask quotes on the book within the bounds imposed by the Exchange is considered. The proposed model allows to analyze the effects of the specialist's interventions on the short term dynamics of bid/ask prices and ...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2021
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2021.04.018