An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks
研究纽约证券交易所股票日内加权买卖价差的模式，发现其呈反向J形，并验证了活动、风险、信息和竞争四个因素与日内价差的关系。
The behavior of time-weighted bid–ask spreads over the trading day are examined. The plot of minute-by-minute spreads versus time of day has a crude reverse J-shaped pattern. Schwartz identifies four determinants of spreads: activity, risk, information, and competition. Using a linear regression model, a significant relationship between these same factors and intraday spreads is demonstrated, but dummy variables for time of day have a reverse J-shape. For given values of the activity, risk, information and competition measures, spreads are higher at the beginning and end of the day relative to the interior period.