Pan, Aritra; Misra, Arun Kumar - In: Cogent economics & finance 9 (2021) 1, pp. 1-23
prime spread drivers. However, the validity of these determinants has not been explored in high-frequency trading. The … present study attempts to articulate the validity of low-frequency determinants of the bid-ask spread in high-frequency … trading. It used "bigglm" concept to estimate various determinants of spread, one of the study's major contributions. The …