Modeling the bid/ask spread: measuring the inventory-holding premium-Reference-Cited by-同舟云学术

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Modeling the bid/ask spread: measuring the inventory-holding premium

Published:2004-04 Issue:1 Volume:72 Page:97-141
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Bollen Nicolas P.B.,Smith Tom,Whaley Robert E.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference58 articles.

1. Trading mechanisms and the components of the bid–ask spread;Affleck-Graves;Journal of Finance,1994

2. Market making with discrete prices;Anshuman;Review of Financial Economics,1998

3. Coherent measures of risk;Artzner;Mathematical Finance,1999

4. The impact of decimalization on market quality;Bacidore;Journal of Financial Intermediation,1997

5. Bagehot, W., 1971. The only game in town. Financial Analysts Journal, 12–22.

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