Mercorelli, Louis R.; Michayluk, David; Hall, Anthony D. - Finance Discipline Group, Business School - 2008
The vast majority of models that decompose the bid/ask spread assume the quote-driven, specialist structure of the NYSE …
March 17, 2008
Key words: bid-ask spread models, adverse selection, anonymity
JEL Codes: G10, G15
We are grateful for … Selection on Electronic Order-Driven Markets
The vast majority of models that decompose the bid/ask spread
assume the quote …