True Spreads and Equilibrium Prices
用蒙特卡洛马尔可夫链方法估计无最小报价单位时的均衡价格和真实价差，发现大股票报价价差主要来自价格取整，逆向选择成分小，而中等股票的真实价差和逆向选择成分更大。
ABSTRACT Stocks and other financial assets are traded at prices that lie on a fixed grid determined by the minimum tick size. Observed prices and quoted spreads do not correspond to the equilibrium prices and true spreads that would exist in a market with no minimum tick size. Using Monte Carlo Markov Chain methods, this paper estimates the equilibrium prices and true spreads. For large stocks, most of the quoted spread is attributable to the rounding of prices and the adverse selection component is small. The true spread and the adverse selection component are greater for mid‐sized stocks.