haku: @indexterm equilibrium analysis / yhteensä: 508
viite: 118 / 508
Tekijä: | Ball, C.A. Chordia, T. |
Otsikko: | True spreads and equilibrium prices |
Lehti: | Journal of Finance
2001 : OCT, VOL. 56:5, p. 1801-1835 |
Asiasana: | EQUILIBRIUM ANALYSIS SPREADSHEETS STOCK MARKETS |
Kieli: | eng |
Tiivistelmä: | 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. |
SCIMA