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The Components of the Bid-Ask Spread: A General Approach, Reviews of Financial Studies
A simple time-series market microstructure model is constructed within which existing models of spread components are reconciled. We show that existing models fail to decompose the spread into allExpand
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Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE
Execution costs for a sample of Nasdaq stocks significantly exceed those for a matched sample of NYSE stocks. Execution costs are measured by the quoted spread, the effective spread (which accountsExpand
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Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests
The relation between the square of the quoted bid-ask spread and two serial covariances--the serial covariance of transaction returns and the serial covariance of quoted returns--is modeled as aExpand
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THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS
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Optimal dealer pricing under transactions and return uncertainty
Abstract The paper examines the optimal behavior of a single dealer who is faced with a stochastic demand to trade (modeled by a continuous time Poisson jump process) and facing return risk on hisExpand
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The Dynamics of Dealer Markets Under Competition
The behavior of competing dealers in securities markets is analyzed. Securities are characterized by stochastic returns and stochastic transactions. Reservation bid and ask prices of dealers areExpand
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THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS
AN IMPORTANT, if not critical, element in almost every financial market is the dealer who stands ready to trade for his own account and thereby provides to the public the convenience of being able toExpand
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Energy Shocks and Financial Markets
This study analyzes the information transmission mechanism linking oil futures with stock prices, where we examine the lead and lag cross-correlations of returns in one market with the others. WeExpand
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The Dynamics of Stock Index and Stock Index Futures Returns
In rational, efficiently functioning markets, the returns on stock index and stock index futures contracts should be perfectly, contemporaneously correlated. This study investigates the time seriesExpand
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PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE
IN AN EFFICIENT market, prices reflect underlying values. This insures the proper allocation of new funds to the most productive areas of the economy. Additionally, individual investors benefit byExpand
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