The Cost Components of Bid-ask Spreads
Author : Jeffrey Harold Harris
Publisher :
Page : 202 pages
File Size : 14,34 MB
Release : 1995
Category :
ISBN :
Author : Jeffrey Harold Harris
Publisher :
Page : 202 pages
File Size : 14,34 MB
Release : 1995
Category :
ISBN :
Author : Steven V. Mann
Publisher :
Page : pages
File Size : 30,33 MB
Release : 1998
Category :
ISBN :
We develop and test a model that provides improved estimates of the bid-ask spread's cost components: order processing, adverse selection, and inventory control. The model incorporates three unique features: (1) a dealer's response to inventory imbalances is not static but depends on the size of the imbalance and the dealer's aversion to inventory risk; (2) active inventory management by a dealer will result in a stationary stochastic process for inventory; and (3) inventory management will influence the adverse selection cost component. We estimate the spread's components using intraday data for NYSE/AMEX and NASDAQ stocks. We also examine the impact of our model's features on the cost estimates. The results suggest inventory costs are higher and order processing costs are lower than previously reported.
Author : Jean-Philippe Bouchaud
Publisher : Cambridge University Press
Page : 464 pages
File Size : 18,50 MB
Release : 2018-03-22
Category : Science
ISBN : 1108639062
The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.
Author : Larry Harris
Publisher : OUP USA
Page : 664 pages
File Size : 48,55 MB
Release : 2003
Category : Business & Economics
ISBN : 9780195144703
Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
Author : Jeffrey Harold Harris
Publisher :
Page : 101 pages
File Size : 34,37 MB
Release : 1995
Category : Equilibrium (Economics)
ISBN :
Author : Sung-Hun Kim
Publisher :
Page : pages
File Size : 30,65 MB
Release : 1998
Category :
ISBN :
In this paper we show that George, Kaul and Nimalendran's (GKN) estimators of the adverse selection and order processing cost components of the bid-ask spread are biased due to intertemporal variations in the bid-ask spread. We provide new estimators that correct this bias and that are applicable to individual securities, and estimate these cost components empirically using data on NYSE/AMEX stocks. As expected, our results indicate that on average adverse selection costs account for approximately 50 percent of the bid-ask spread, sharply higher than the estimates of 8-10 percent obtained by GKN for NASDAQ stocks and 21 percent that we obtain for NYSE/AMEX stocks using GKN's estimators. We then conduct cross-sectional regressions designed primarily to determine whether adverse selection costs vary across specialists after controlling for firm size and other factors. Consistent with previously-established hypotheses, we find that adverse-selection costs vary across specialists, and that this variation is related to the number of securities that the specialist handles.
Author : Thomas John George
Publisher :
Page : 68 pages
File Size : 14,54 MB
Release : 1991
Category : Securities
ISBN :
Author : Phillip R. Daves
Publisher :
Page : 40 pages
File Size : 22,54 MB
Release : 2014
Category :
ISBN :
We investigate why trading costs through Electronic Communication Networks (ECNs) are lower than trading costs with market makers through estimating the components of the bid-ask spread. Additionally, we show how the composition and size of bid-ask spreads change with the market environment. We find the adverse selection cost component of the bid-ask spread to be lower when ECNs are alone at the inside compared to when market makers are alone at the inside. The magnitude or size of the inside spread is largest during periods of high volatility but smallest when stock returns approach zero.
Author : Alexey Sergeevich Serednyakov
Publisher :
Page : 202 pages
File Size : 38,59 MB
Release : 2006
Category :
ISBN :
Author : Aswath Damodaran
Publisher : John Wiley & Sons
Page : 698 pages
File Size : 17,39 MB
Release : 2016-02-08
Category : Business & Economics
ISBN : 0470049375
"Aswath Damodaran is simply the best valuation teacher around. If you are interested in the theory or practice of valuation, you should have Damodaran on Valuation on your bookshelf. You can bet that I do." -- Michael J. Mauboussin, Chief Investment Strategist, Legg Mason Capital Management and author of More Than You Know: Finding Financial Wisdom in Unconventional Places In order to be a successful CEO, corporate strategist, or analyst, understanding the valuation process is a necessity. The second edition of Damodaran on Valuation stands out as the most reliable book for answering many of today?s critical valuation questions. Completely revised and updated, this edition is the ideal book on valuation for CEOs and corporate strategists. You'll gain an understanding of the vitality of today?s valuation models and develop the acumen needed for the most complex and subtle valuation scenarios you will face.