Determinants of Bid-Ask Spread in Indonesia: More Evidence from LQ45
نویسندگان
چکیده
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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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...
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ژورنال
عنوان ژورنال: Indonesian Journal Of Business And Economics
سال: 2018
ISSN: 2621-4466,2621-6167
DOI: 10.25134/ijbe.v1i1.1357