منابع مشابه
Bid - Ask Spreads in Commodity Futures Markets
Issues of recent interest and controversy regarding bid-ask spreads in commodity futures markets are investigated. First we apply competing spread estimators to open outcry transactions data and compare resulting estimates to observed spreads. This enables market microstructure researchers, regulators, exchange officials, and traders the opportunity to evaluate the usefulness and accuracy of bi...
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This paper examines the determinants of bid-ask spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over the period 1986-94. The paper finds that closing daily spreads are affected by order processing costs (proxied by trading volumes), inventory control costs (trading volumes and return variability) and asymmetric information (unusually high tradin...
متن کاملBid-Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets
Copyright 2009 by Julieta Frank and Philip Garcia. All rights reserved. Readers may make verbatim copies of this document for non‐commercial purposes by any means, provided that this copyright notice appears on all such copies. Abstract Understanding the determinants of liquidity costs in agricultural futures markets is hampered by a need to use proxies for the bid-ask spread which are often bi...
متن کاملEffective securities in arbitrage-free markets with bidヨask spreads at liquidation: a linear programming characterization
We consider a securities market with bid–ask spreads at any period, including liquidation. Although the minimum-cost super-replication problem is non-linear, we introduce an auxiliary problem that allows us to characterize no-arbitrage via linear programming techniques. We introduce the notion of effective new security and show that effectiveness restricts the no-arbitrage bid and ask prices of...
متن کاملE¤ective Securities in Arbitrage-Free Markets with Bid-Ask Spreads at Liquidation: a Linear Programming Characterization
We consider a securities market with bid-ask spreads at any period, including liquidation. Although the minimum-cost super-replication problem is non-linear, we introduce an auxiliary problem that allows us to characterize no-arbitrage via linear programming techniques. We introduce the notion of e¤ective new security and show that e¤ectiveness restricts the no-arbitrage bid and ask prices of a...
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ژورنال
عنوان ژورنال: Annals of Finance
سال: 2015
ISSN: 1614-2446,1614-2454
DOI: 10.1007/s10436-015-0266-0