Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests
建立报价价差平方与两种序列协方差的关系模型，利用纳斯达克股票数据估计价格反转概率和价格变动幅度，并分解报价价差中逆向信息成本、订单处理成本和存货持有成本的相对重要性。
ABSTRACT The relation between the square of the quoted bid‐ask spread and two serial covariances—the serial covariance of transaction returns and the serial covariance of quoted returns—is modeled as a function of the probability of a price reversal, π , and the magnitude of a price change, ∂, where ∂ is stated as a fraction of the quoted spread. Different models of the spread are contrasted in terms of the parameters, π and ∂. Using data on the transaction prices and price quotations for NASDAQ/NMS stocks, π and ∂ are estimated and the relative importance of the components of the quoted spread—adverse information costs, order processing costs, and inventory holding costs—is determined.