Information Effects on the Bid‐Ask Spread
提出一个理论模型，假设做市商通过设定买卖价差来优化头寸，平衡来自流动性交易者的预期收益和来自信息交易者的预期损失，并推导出价差与价格水平、收益方差、市场活跃度、深度、连续性及竞争程度的关系。
ABSTRACT An individual who chooses to serve as a market‐maker is assumed to optimize his position by setting a bid‐ask spread which maximizes the difference between expected revenues received from liquidity‐motivated traders and expected losses to information‐motivated traders. By characterizing the cost of supplying quotes, as writing a put and a call option to an information‐motivated trader, it is shown that the bid‐ask spread is a positive function of the price level and return variance, a negative function of measures of market activity, depth, and continuity, and negatively correlated with the degree of competition. Thus, the theory of information effects on the bid‐ask spread proposed in this paper is consistent with the empirical literature.