The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic financial Market
Download full text from publisher
References listed on IDEAS
- Ho, Thomas S Y & Macris, Richard G, 1984. " Dealer Bid-Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options," Journal of Finance, American Finance Association, vol. 39(1), pages 23-45, March.
- Garman, Mark B., 1976. "Market microstructure," Journal of Financial Economics, Elsevier, vol. 3(3), pages 257-275, June.
- Joel Hasbrouck, 1999. "The Dynamics of Discrete Bid and Ask Quotes," Journal of Finance, American Finance Association, vol. 54(6), pages 2109-2142, December.
- Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Matos, João Manuel Gonçalves Amaro de & Fernandes, Marcelo, 2001.
"Testing the Markov property with ultra high frequency financial data,"
FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE)
414, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Matos, Joao Amaro de & Fernandes, Marcelo, 2004. "Testing the Markov property with ultra-high frequency financial data," FEUNL Working Paper Series wp462, Universidade Nova de Lisboa, Faculdade de Economia.
More about this item
KeywordsBid-ask spread; intermediary; dynamic equilibrium;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:unl:unlfep:wp389. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sean Story). General contact details of provider: http://edirc.repec.org/data/feunlpt.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.