Modeling the bid/ask spread: measuring the inventory-holding premium
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|
|Source:||Journal of Financial Economics|
|01_Bollen_Modeling_the_bid/ask_spread:_2004.pdf||432.27 kB||Adobe PDF||Request a copy|
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