This paper develops a framework to test alternative market microstructure models of the bid-ask spread. If, on the one hand, information-based models result in bid and ask quotes that are non-Markovian, and the other hand, the Markov property may hold in equilibrium settings where the market maker serves as an intermediary.
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Paper provided by European University Institute in its series Economics Working Papers with number
eco2000/19.
Length: 25 pages Date of creation: 2000 Date of revision: Handle: RePEc:eui:euiwps:eco2000/19
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