This article models (and tests!) the bid/ask spread of stock trades and models it as a function of “minimum tick size, order-processing costs, inventory holding costs, adverse selection costs, and competition.” VERY cool. And the model even seems to work empirically! [FinanceProfessor.com Annotation]
Content: Article
Authors: Nicholas P.B. Bollen, Robert E. Whaley, Tom Smith
Source: Journal of Financial Economics
Subjects: Finance, Industry Specific
Industry: Investment Banking
Authors: Nicholas P.B. Bollen, Robert E. Whaley, Tom Smith
Source: Journal of Financial Economics
Subjects: Finance, Industry Specific
Industry: Investment Banking
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