Bid-ask spread, quoted depths, and unexpected duration between trades
Year of publication: |
June 2017
|
---|---|
Authors: | Ruan, Jun Tony ; Ma, Tongshu |
Published in: |
Journal of financial services research : JFSR. - Dordrecht [u.a.] : Springer Science + Business Media Inc., ISSN 0920-8550, ZDB-ID 1027136-3. - Vol. 51.2017, 3, p. 385-436
|
Subject: | Autoregressive conditional duration model | Unexpected duration | Bid-ask spread | Quoted depths | Information asymmetry | Liquidity | Geld-Brief-Spanne | Asymmetrische Information | Asymmetric information | Dauer | Duration | Marktmikrostruktur | Market microstructure | Schätzung | Estimation | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Theorie | Theory |
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