The Dynamics of Discrete Bid and Ask Quotes
构建了一个考虑报价离散性、做市成本随机性和ARCH波动效应的实证微观结构模型，并应用于美国铝业15分钟间隔的日内报价数据，发现报价暴露成本中的随机成分持久且显著大于确定性日内U型成分。
ABSTRACT This paper presents an empirical microstructure model of bid and ask quotes that features discreteness, random costs of market making, and ARCH volatility effects. Applied to intraday quotes at 15‐minute intervals for Alcoa (a randomly chosen Dow stock), the results show that quote exposure costs contain stochastic components that are persistent and large relative to the deterministic intraday “U” components. Analysis of the filtered estimates of the system suggest that bid and ask costs contain common components, and that these costs reflect risk as proxied by ARCH variance forecasts.