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The Dynamics of Discrete Bid and Ask Quotes

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  • Joel Hasbrouck
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    Abstract

    This paper describes a general approach to the estimation of security price dynamics when the phenomena of interest are of the same scale or smaller than the tick size. The model views discrete bid and ask quotes as arising form the three continuous random variables: the efficient price of the security, a cost of quote exposure (information and processing costs) on the bid side and a similar cost of quote exposure on the ask side. The bid quote is the efficient price less the bid cost rounded

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    Bibliographic Info

    Paper provided by New York University, Leonard N. Stern School of Business- in its series New York University, Leonard N. Stern School Finance Department Working Paper Seires with number 98-041.

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    Date of creation: 25 Jul 1997
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    Handle: RePEc:fth:nystfi:98-041

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    Postal: U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126
    Phone: (212) 998-0100
    Web page: http://w4.stern.nyu.edu/finance/
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