Studies on the bid ask spread component using high frequency trading data

碩士 === 國立中山大學 === 應用數學系研究所 === 94 === In this paper, we use the high frequency trading data of New York Stock Exchange to analyze the bid-ask spread components. It is found that there is an exponential relationship between the log returns of quoted midpoints and the trade volume. We also observe a n...

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Bibliographic Details
Main Authors: An-pin Wey, 魏安平
Other Authors: Mei-Hui Guo
Format: Others
Language:zh-TW
Published: 2006
Online Access:http://ndltd.ncl.edu.tw/handle/87438005753163411517