A new spread estimator

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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...

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Bibliographic Details
Main Authors:	Bleaney, Michael, Li, Zhiyong
Format:	Article
Published:	Springer Verlag 2015
Subjects:	Bid-ask spread; Feedback trading; Estimation
Online Access:	https://eprints.nottingham.ac.uk/47520/

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