Market Microstructure Models and the Markov Property.

This paper develops a framework to test alternative market microstructure models of the bid-ask spread. If, on the one hand, information-based models result in bid and ask quotes that are non-Markovian, and the other hand, the Markov property may hold in equilibrium settings where the market maker serves as an intermediary.

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Year of publication:	2000
Authors:	Amaro de Matos, J. ; Fernandes, M.
Institutions:	Department of Economics, European University Institute
Subject:	MARKET \| TESTS \| MODELS \| INFORMATION

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Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	25 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C35 - Discrete Regression and Qualitative Choice Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005697641