Bid-ask spread determination in the FX swap market: Competition, collusion or a convention?
Sign Up to like & getrecommendations! Published in 2017 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2017.08.001
Abstract: Following a series of manipulation scandals in the global foreign exchange and money markets, recent lawsuits, regulatory reform proposals and bank compliance changes have explicitly targeted anti-competitive behaviour. By empirically investigating the determination of bid-ask… read more here.
Keywords: swap; ask spread; determination; market ... See more keywords
Semiparametric identification of the bid–ask spread in extended Roll models
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2017.06.013
Abstract: This paper provides new identification results for the bid–ask spread and the nonparametric distribution of the latent fundamental price increments (et) from the observed transaction prices alone. The results are established via the characteristic function… read more here.
Keywords: roll; ask spread; bid ask; extended roll ... See more keywords
Bias in the effective bid-ask spread
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DOI: 10.1016/j.jfineco.2021.04.018
Abstract: Abstract The effective bid-ask spread measured relative to the spread midpoint overstates the true effective bid-ask spread in markets with discrete prices and elastic liquidity demand. The average bias is 13%–18% for S&P 500 stocks in… read more here.
Keywords: bid ask; effective bid; bias effective; ask spread ... See more keywords
When spread bites fast – Volatility and wide bid-ask spread in a mixed high-frequency and low-frequency environment
Sign Up to like & getrecommendations! Published in 2020 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2019.101066
Abstract: Abstract This research focuses on the impact High-Frequency Trading has on price volatility when bid-ask spread is wide. The theoretical part introduces a set of equations and presents an Agent Based Model implemented via a… read more here.
Keywords: high frequency; bid ask; frequency; volatility ... See more keywords