Market Microstructure Invariance: A Dynamic Equilibrium Model
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References listed on IDEAS
- Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
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"Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,"
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Keywordsmarket microstructure; invariance; liquidity; bid-ask spread; market impact; transaction costs; market efficiency; efficient markets hypothesis; pricing accuracy; resiliency; order size;
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