Components of the Bid–Ask Spread and Variance: A Unified Approach
构建了一个资产价格形成与流动性供给的结构模型，将买卖价差和收益方差分解为逆向选择、存货和订单处理成本等成分，并分析了交易场所碎片化对存货压力和价格发现的影响。基于上海期货交易所黄金期货日内数据的实证发现，订单处理成本解释了约50%的期货买卖价差，其余50%由信息不对称和存货成本均分；约三分之一的期货收益方差归因于微观结构噪声。
We develop a structural model for the price formation and liquidity supply of an asset. Our model facilitates decompositions of both the bid–ask spread and the return variance into components related to adverse selection, inventory, and order processing costs. Furthermore, the model shows how the fragmentation of trading volume across trading venues influences inventory pressure and price discovery. We use the model to analyze intraday price formation for gold futures traded at the Shanghai Futures Exchange. We find that order processing costs explain about 50% of the futures bid–ask spread, whereas the remaining 50% is equally due to asymmetric information and to inventory costs. About a third of the variance in futures returns is attributable to microstructure noise. Trading at the spot market has a significant influence on futures price discovery, but only a limited impact on the futures bid–ask spread. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:545–563, 2016