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 …-frequency trading. It used "bigglm" concept to estimate various determinants of spread, one of the study's major contributions. The … study found a positive relation between market-capitalization and spread, supporting the theory that a higher trading volume …