Modeling the bid/ask spread: measuring the inventory-holding premium
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Bollen, Nicolas; Smith, Tom; Whaley, Robert
Description
The need to understand and measure the determinants of market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and the fairness of market maker rents. This study develops a simple, parsimonious model for the market
| Collections | ANU Research Publications |
|---|---|
| Date published: | 2004 |
| Type: | Journal article |
| URI: | http://hdl.handle.net/1885/78859 |
| Source: | Journal of Financial Economics |
| DOI: | 10.1016/S0304-405X(03)00169-7 |
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| File | Description | Size | Format | Image |
|---|---|---|---|---|
| 01_Bollen_Modeling_the_bid/ask_spread:_2004.pdf | 432.27 kB | Adobe PDF | Request a copy |
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