PENGARUH HARGA SAHAM, VOLUME PERDAGANGAN, DAN FREKUENSI PERDAGANGAN TERHADAP BID-ASK SPREAD
نویسندگان
چکیده
منابع مشابه
Bid-ask spread modelling, a perturbation approach
Our objective is to study liquidity risk, in particular the so-called “limit order books”, as a by-product of market uncertainties. “Limit order books” describe the existence of different sell and buy prices, which we explain by using different risk aversions of the agents. The risky assets follows a local volatility diffusion governed by a Brownian motion which is uncertain. We use the error t...
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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: JIAFE (Jurnal Ilmiah Akuntansi Fakultas Ekonomi)
سال: 2020
ISSN: 2502-4159,2502-3020
DOI: 10.34204/jiafe.v6i2.2305