The Components of the Bid-Ask Spread: A General Approach
构建了一个简单的时间序列市场微观结构模型，统一了现有价差成分模型，并扩展出两种方法以识别价差的所有组成部分。实证发现订单处理成分较大，逆向选择和存货成分较小但显著，且价差成分因交易规模而异。
A simple time-series market microstructure model is constructed within which existing models of spread components are reconciled. We show that existing models fail to decompose the spread into all its components. Two alternative extensions of the simple model are developed to identify all the components of the spread and to estimate the spread at which trades occur. The empirical results support the presence of a large order processing component and smaller, albeit significant, adverse selection and inventory components. The spread components differ significantly according to trade size and are also sensitive to assumptions about the relation between orders and trades.