The Cost Components Of Bid Ask Spreads
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The Cost Components of Bid-ask Spreads
| Author | : Jeffrey Harold Harris |
| Publisher | : |
| Total Pages | : 202 |
| Release | : 1995 |
| Genre | : |
| ISBN | : |
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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
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In this paper we show that George, Kaul and Nimalendran's (GKN) estimators of the adverse selection and order processing cost components of the bid-ask spread a
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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
