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Economics Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26959
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| Title: | Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation |
| Authors: | Hasbrouck, Joel |
| Keywords: | Quotes
foreign exchange
Gibbs sampler
Markov chain Monte Carlo
discreteness
clustering
security prices |
| Issue Date: | 5-Oct-1998 |
| Series/Report no.: | FIN-98-042 |
| Abstract: | 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 of
quotes to lie on “natural” 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. |
| URI: | http://hdl.handle.net/2451/26959 |
| Appears in Collections: | Economics Working Papers
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