Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Hasbrouck, Joel | - |
| dc.date.accessioned | 2008-05-29T14:10:47Z | - |
| dc.date.available | 2008-05-29T14:10:47Z | - |
| dc.date.issued | 1998-10-05 | - |
| dc.identifier.uri | http://hdl.handle.net/2451/26959 | - |
| dc.description.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. | en |
| dc.language.iso | en_US | en |
| dc.relation.ispartofseries | FIN-98-042 | en |
| dc.subject | Quotes | en |
| dc.subject | foreign exchange | en |
| dc.subject | Gibbs sampler | en |
| dc.subject | Markov chain Monte Carlo | en |
| dc.subject | discreteness | en |
| dc.subject | clustering | en |
| dc.subject | security prices | en |
| dc.title | Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation | en |
| dc.type | Working Paper | en |
| Appears in Collections: | Economics Working Papers | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| wpa98042.pdf | 755.77 kB | Adobe PDF | View/Open |
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