Qiu, Tian; Chen, Guang; Zhong, Li-Xin; Wu, Xiao-Run - arXiv.org - 2011
Bid-ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory effect and the multifractal nature. By investigating...