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Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/26959

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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