منابع مشابه
Bid-ask spread modelling, a perturbation approach
Our objective is to study liquidity risk, in particular the so-called “limit order books”, as a by-product of market uncertainties. “Limit order books” describe the existence of different sell and buy prices, which we explain by using different risk aversions of the agents. The risky assets follows a local volatility diffusion governed by a Brownian motion which is uncertain. We use the error t...
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This paper empirically examines the relation between the expected stock return and the bid-ask spread. Using the same portfolio formation method as in Amihud and Mendelson (1986) but different test methodologies, we do not find any clear reliable relation between the CAPM risk-adjusted return and the relative bid-ask spread. Our empirical results are more consistent with the conclusions of Cons...
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We analyze the equilibrium spread when the transaction size of informed traders is elastic in the value of private information (α). We show that the pooling equilibrium is likely to be inefficient when trade size is sensitive to α and the inefficient equilibrium can occur before the market breaks down. The pooling equilibrium spread does not monotonically increase with α, although it increases ...
متن کاملThe optimal bid/ask spread in a Specialist System
a r t i c l e i n f o In this work we propose a simple market model where some features of the Specialist System are analyzed. In particular, the specialist's obligation to display bid/ask quotes on the book within the bounds imposed by the Exchange is considered. The proposed model allows to analyze the effects of the specialist's interventions on the short term dynamics of bid/ask prices and ...
متن کاملAn Extended Model of Effective Bid-ask Spread
In this paper we present an extended model for the estimation of effective bid-ask spread that improves the existing models and offers a new direction of generalisation. The quoted bid-ask spread represents the prices available at a given time for transactions only up to some relatively small amount. Moreover, it is observed that large trades are usually made at “worse” prices. Thus, we extend ...
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ژورنال
عنوان ژورنال: Journal of Construction Engineering and Management
سال: 2001
ISSN: 0733-9364,1943-7862
DOI: 10.1061/(asce)0733-9364(2001)127:2(149)