Dynamics of Effective Quotes and Spreads Between Consecutive Trades - A Real-Time Structural Model of Price Formation
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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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