The Determinants of the Bid-Ask Spread Components

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The Determinants of the Bid-Ask Spread Components

Reported bid-ask spread decompositions vary in exchange structure, for example quotedriven, order-driven or hybrid systems. The majority however, focus on quote-driven markets. This dissertation empirically studies the decomposition of spread components in a order-driven market and identifies relati...

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Bibliographic Details
Main Author:	Liang, Xiuying
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2006
Subjects:	Bid-ask spread inventory holding order processing asymmetric information
Online Access:	https://eprints.nottingham.ac.uk/20356/

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