Three essays on the cost components of the bid-ask spread
This dissertation consists of three interrelated essays. The first essay focuses on the adverse selection component of the bid-ask spread. A regime switching model applied to the trading process leads to a parsimonious model of the time-series evolution of the bid-ask spread in which market particip...
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1999
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| Online Access: | http://spectrum.library.concordia.ca/951/1/NQ48306.pdf Leventhal, Paul <http://spectrum.library.concordia.ca/view/creators/Leventhal=3APaul=3A=3A.html> (1999) Three essays on the cost components of the bid-ask spread. PhD thesis, Concordia University. |