Matt Sileno Article from the Vault: Modeling the bid/ask spread: Measuring the inventory-holding premium (.pdf)

This article models (and tests!) the bid/ask spread of stock trades and models it as a function of "minimum tick size, order-processing costs, inventory holding costs, adverse selection costs, and competition." VERY cool. And the model even seems to work empirically! [FinanceProfessor.com Annotation]

Author(s): Nicholas P.B. Bollen, Tom Smith, Robert E. Whaley

Source(s): Journal of Financial Economics

via Alltop RSS http://jfe.rochester.edu/02503.pdf Matt Sileno

http://www.lead411.com/Matt_Sileno_3146962.html The Intuitive Group Inc

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