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dc.contributor.authorHasbrouck, Joel-
dc.date.accessioned2008-05-30T07:05:44Z-
dc.date.available2008-05-30T07:05:44Z-
dc.date.issued1996-02-16-
dc.identifier.urihttp://hdl.handle.net/2451/27130-
dc.description.abstractThis analysis models discrete quotes as arising from two continuous random variables, the efficient price and a cost of quote exposure (information and processing costs). The former less the latter rounded down to the next tick yields the bid; the former plus the latter rounded up yields the ask. To deal with situations in which the cost of quote exposure possesses both stochastic and deterministic components, the paper proposes a nonlinear state-space estimation method. The method is applied to intraday quotes at fifteen-minute intervals for Alcoa (a randomly chosen Dow stock). The results confirm the existence of deterministic and stochastic components of the cost that are of roughly comparable magnitudes.en
dc.language.isoen_USen
dc.relation.ispartofseriesFIN-95-023en
dc.titleThe Dynamics of Discrete Bid and Ask Quotesen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

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