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Estimating the components of the bid/ask spread
Abstract This paper develops and implements a technique for estimating a model of the bid/ask spread. The spread is decomposed into two components, one due to asymmetric information and one due toExpand
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Stock Price Clustering and Discreteness
Stock prices cluster on round fractions. Clustering increases with price level and volatility, and decreases with capitalization and transaction frequency. Clustering is pervasive. Price clusteringExpand
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Trading and Exchanges: Market Microstructure for Practitioners
This book is about trading, the people who trade securities and contracts, the marketplaces where they trade, and the rules that govern it. Readers will learn about investors, brokers, dealers,Expand
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Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes
Exchange minimum price variation regulations create discrete bid-ask spreads. If the minimum quotable spread exceeds the spread that otherwise would be quoted, spreads will be wide and the number ofExpand
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Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures
Attempts to identify price pressures caused by large transactions may be inconclusive if the transactions convey new information to the market. This problem is addressed in an examination of pricesExpand
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Corporate Bond Market Transaction Costs and Transparency
Using a complete record of U.S. over-the-counter (OTC) secondary trades in corporate bonds, we estimate average transaction costs as a function of trade size for each bond that traded more than nineExpand
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A transaction data study of weekly and intradaily patterns in stock returns
Abstract Weekly and intradaily patterns in common stock prices are examined using transaction data. For large firms, negative Monday close-to-close returns accrue between the Friday close and theExpand
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Optimal Dynamic Order Submission Strategies In Some Stylized Trading Problems
Optimal dynamic limit and market order submission and resubmission strategies are derived for several stylized trading problems. Separate solutions are obtained for quote- and order-driven markets.Expand
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A maximum likelihood approach for non-Gaussian stochastic volatility models
A maximum likelihood approach for the analysis of stochastic volatility models is developed. The method uses a recursive numerical integration procedure that directly calculates the marginalExpand
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