نتایج جستجو برای: bid ask spread
تعداد نتایج: 144369 فیلتر نتایج به سال:
The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the time right before transactions, the time whenever the highest buying price or the lowest selling price changes, and a fixed time interval. The results are qu...
We argue that on electronic markets, competition between liquidity providers should reduce the spread until the execution cost using market orders matches that of limit orders. This implies a linear relation between the bid-ask spread and the average impact of market orders, in good agreement with our empirical observations. We then use this relation to justify a strong, and hitherto unnoticed,...
We argue that on electronic markets, limit and market orders should have equal effective costs on average. This symmetry implies a linear relation between the bid-ask spread and the average impact of market orders. Our empirical observations on different markets are consistent with this hypothesis. We then use this relation to justify a simple, and hitherto unnoticed, proportionality relation b...
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