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Estimating the effective BID/ASK spread from time and sales data

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  • Tom Smith
  • Robert E. Whaley

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  • Tom Smith & Robert E. Whaley, 1994. "Estimating the effective BID/ASK spread from time and sales data," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(4), pages 437-455, June.
  • Handle: RePEc:wly:jfutmk:v:14:y:1994:i:4:p:437-455
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    Cited by:

    1. Samarth Shah & B. Wade Brorsen, 2013. "Are liquidity costs higher in options markets or in futures markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(8), pages 701-708, April.
    2. Taylor, Nick, 2016. "Roll strategy efficiency in commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 14-34.
    3. repec:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9133-7 is not listed on IDEAS
    4. Araújo, Gustavo Silva & Barbedo, Claudio Henrique da S. & Vicente, José Valentim M., 2014. "The adverse selection cost component of the spread of Brazilian stocks," Emerging Markets Review, Elsevier, vol. 21(C), pages 21-41.
    5. repec:jre:issued:v:39:n:1:2017:p:65_98 is not listed on IDEAS

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