The Bid-Ask Spread's Cost Components
Language: en
Pages:
Authors: Steven V. Mann
Categories:
Type: BOOK - Published: 1998 - Publisher:

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We develop and test a model that provides improved estimates of the bid-ask spread's cost components: order processing, adverse selection, and inventory control
The Cost Components of Bid-ask Spreads
Language: en
Pages: 202
Authors: Jeffrey Harold Harris
Categories:
Type: BOOK - Published: 1995 - Publisher:

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Three Essays on the Cost Components of the Bid-ask Spread
Language: en
Pages: 0
Authors: Paul Leventhal
Categories: Investment analysis
Type: BOOK - Published: 1999 - Publisher:

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This dissertation consists of three interrelated essays. The first essay focuses on the adverse selection component of the bid-ask spread. A regime switching mo
Trades, Quotes and Prices
Language: en
Pages: 464
Authors: Jean-Philippe Bouchaud
Categories: Science
Type: BOOK - Published: 2018-03-22 - Publisher: Cambridge University Press

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The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but als
The Cost Components of Bid-ask Spreads
Language: en
Pages: 101
Authors: Jeffrey Harold Harris
Categories: Equilibrium (Economics)
Type: BOOK - Published: 1995 - Publisher:

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