Dynamics of Effective Quotes and Spreads Between Consecutive Trades - A Real-Time Structural Model of Price Formation
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References listed on IDEAS
- Grinblatt, Mark & Titman, Sheridan D, 1989.
"Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings,"
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University of Chicago Press, vol. 62(3), pages 393-416, July.
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More about this item
KeywordsPrice formation; Bid-ask spread; Trade duration; Quote dynamics;
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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