Estimating the effective BID/ASK spread from time and sales data
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- 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.
- Taylor, Nick, 2016.
"Roll strategy efficiency in commodity futures markets,"
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- Nick Taylor, 2015. "Roll Strategy Efficiency in Commodity Futures Markets," Bristol Accounting and Finance Discussion Papers 15/1, School of Economics, Finance, and Management, University of Bristol, UK.
- repec:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9133-7 is not listed on IDEAS
- 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.
- Gustavo Silva Araújo & Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente, 2011. "The Adverse Selection Cost Component of the Spread of Brazilian Stocks," Working Papers Series 263, Central Bank of Brazil, Research Department.
- repec:jre:issued:v:39:n:1:2017:p:65_98 is not listed on IDEAS
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