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Modeling the bid/ask spread: measuring the inventory-holding premium

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

CollectionsANU 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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