Visaltanachoti, Nuttawat; Luo, Hang; Wang, Dongqiang - In: Applied Economics Letters 14 (2007) 13, pp. 945-949
This study examines the performance of market order execution strategy in a pure limit order driven environment based on three bid-ask spread forecasting models. While a naive spread forecasting model based on previous day's spread and average 10 trading days' spread could deliver a cost saving...
