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...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/87438005753163411517 |