Salomonsson, Marcus - Economics Institute for Research (SIR), … - 2009
), and Glosten
and Milgrom (1985).
Empirical studies of the composition of the spread has been made by Glosten and
Harris …., and E. Hughson (1997): �Splitting Orders,�The Review of Finan-
cial Studies, 10, 69�101.
Bessembinder, H. (2003): �Trade … Market Makers,�The Review of
Economic Studies, 60, 735�751.
INTRODUCING A SPREAD INTO THE KYLE MODEL 26
Dutta, P. K., and A …