Security Bid/Ask Dynamics with Discreteness and Clustering : Simple Strategies for Modeling and Estimation

This paper proposes a dynamic model of bid and ask quotes that incorporates a stochastic cost of market-making, discreteness (restriction of quotes to a fixed grid) and clustering (the tendency ofquotes to lie on acirc;not;Snaturalacirc;not;? multiples of the tick size). The Gibbs sampler provides a convenient vehicle for estimation. The model is estimated for daily and intradaily US Dollar/Deutschemark Reuters quotes

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Year of publication:	[2008]
Authors:	Hasbrouck, Joel
Publisher:	[2008]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (43 p)
Series:	NYU Working Paper ; No. FIN-98-042
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 1998 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

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