Farinós, José E.; García, C. José; Ibáñez, Ana M.ª - In: Cuadernos de Gestión 5 (2005) 1, pp. 13-35
One of the main interests of market microstructure is the estimation of the bid–ask spread components from financial data, specially the adverse selection component given the implications of its own existence. As aresult, several empirical models based on price time–series statistical...