A new spread estimator
A new estimator of bid-ask spreads is presented. When the trade direction is known, any estimate of the spread is associated with a unique series of conjectural mid-prices derived by adjusting the observed transaction price by half the estimated spread. It is shown that the covariance of successive...
| Main Authors: | , |
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| Format: | Article |
| Published: |
Springer Verlag
2015
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/47520/ |