Pani, Sudhanshu - In: Borsa Istanbul Review 24 (2024) 4, pp. 710-721
when observed at high resolution. Although the spread cannot be precisely estimated because of microstructure noise, the QV … stocks from the NASDAQ 100 is used to estimate and examine the QV. The examination is done at high resolution (subsecond …. Similarly, the QV is generally lower with pretrades than posttrades. Using a high resolution, the revealed state of the limit …