Anatomy of Bid-Ask Spread Empirical Evidence from an Order-driven Market
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KeywordsMarket Microstructure; Order Strategy; Bid-Ask Spread; Adverse Selection Cost; Price Formation; Order Driven Market;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-09 (All new papers)
- NEP-FMK-2007-04-09 (Financial Markets)
- NEP-MST-2007-04-09 (Market Microstructure)
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