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| Author: | Ball, C.A. Chordia, T. |
| Title: | True spreads and equilibrium prices |
| Journal: | Journal of Finance
2001 : OCT, VOL. 56:5, p. 1801-1835 |
| Index terms: | EQUILIBRIUM ANALYSIS SPREADSHEETS STOCK MARKETS |
| Language: | eng |
| Abstract: | Stocks and other financial assets are traded at prices that lie on a fixed grid determined by the minimum tick size. Observed prices and quoted spreads do not correspond to the equilibrium prices and true spreads that would exist in a market with no minimum tick size. Using Monte Carlo Markov Chain methods, this paper estimates the equilibrium prices and true spreads. |
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