The Components of the Bid-Ask Spread: A General Approach
作者： Roger D. Huang , Hans R. Stoll
DOI: 10.1093/RFS/10.4.995
关键词: Economics 、 Nominal size 、 Market microstructure 、 Econometrics 、 Bid–ask spread 、 Financial economics 、 Adverse selection 、 Relation (database) 、 Order processing 、 Component (UML) 、 Simple (abstract algebra)
摘要: A simple time-series market microstructure model is constructed within which existing models of spread components are reconciled. We show that existing models fail to decompose the …
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