Matos, Joao Amaro de; Rosario, Joao Sobral do - Faculdade de Economia, Universidade Nova de Lisboa - 2000
This paper presents an endogeneous model for the stochastic dynamics of the bid-ask spread of prices of nancial assets. The model is derived introducing an intermediary and inventory costs in the setting of equilibrium financial markets as described by Platen and Rebolledo (1996)