Comprehensive market microstructure model: considering the inventory holding costs
The purpose of this study is to propose a structural market microstructure model and examine the intraday price and spread dynamics in a highly liquid market. We extend the model of Madhavan, Richardson, and Roomans to devise a comprehensive order indicator model that considers the order duration,...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2017-04-01
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| Series: | Journal of Business Economics and Management |
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| Online Access: | https://journals.vgtu.lt/index.php/JBEM/article/view/1187 |