The Empirical Result of the Five Best Bid/Ask Quotes and Depths in Limit Order Book- Take TAIEX for Exmaple
碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === This paper extensively employs the order and trade data to analyze the shape of limit order book. We try to give the spreads and depths of the five best bid /ask quotes a brief relationship. Taking the tick size into account, we find that the bid-ask spread is l...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/02114463160695824555 |