Estimating the effective BID/ASK spread from time and sales...

Estimating the effective BID/ASK spread from time and sales data

Tom Smith, Robert E. Whaley
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Volume:
14
Year:
1994
Language:
english
Pages:
19
DOI:
10.1002/fut.3990140406
File:
PDF, 888 KB
english, 1994
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