The bid/ask spread is a good measure of liquidity. The larger the spread the greater the liquidity risk. Liquidity risk is a subset of financial risk—the larger the liquidity risk, the larger the financial risk. 统计:共计9人答过,平均正确率88.88% 问题:进入高顿部落发帖帮助 相似题型 热门网课...
We propose a simple continuous-time stochastic model for capturing the dynamics of a limit order book in the presence of liquidity fluctuations, manifested by gaps in filled price levels within the OB. Inspired by [D. Farmer, L. Gillemot, F. Lillo, S. Mike and A. Sen, Quant. Finance ...
Here’s a good example of someone who has learned to rationalize his self-interest so well he does not recognize when he is saying something absurd,from the WSJ: “If you could set your tick size [minimum bid-ask spread] much wider, market participants will react,” said Jeffrey Solomon,...
Bid-ask spreadTrading volumeIn this paper we examine changes in dollar and relative bid-ask spreads of stocks following large price movements. We investigate large increases and decreases separately and link our results to current market microstructure theories on trading activities and spreads. We ...
Ben Branch, et al. Bid-asked spreads on the AMEX and the big board Journal of Finance (1977) Thomas Copeland, et al. Information effects and the bid-ask spread Journal of Finance (1983) There are more references available in the full text version of this article.Cited by (251) ...
Condition2ExecutionDeltaBid Ask SpreadTrade Edge Hist Vol20-Day The 20-day historical volatility of the underlying symbol IV vsHV20-Day The difference between the trade volatility and the 20-day historical volatility, expressed as a percentage HistVol1-Yr The 1-year historical volatility of the ...
aimbalance affects the placement of quotes but not the size of the bid–ask spread, 不平衡状态影响行情的安置,但出价问传播的不是大小,[translate] aspreads depend on inventory holding costs, 正在翻译,请等待...[translate] aTo be part of this plan,the only thing you need to do is to talk ...
aimbalance affects the placement of quotes but not the size of the bid–ask spread, 不平衡状态影响行情的安置,但出价问传播的不是大小,[translate] a新发肺结核病 Has the white plague newly[translate] asecurity enrollment 安全注册[translate] ...
30 Day Median Bid/Ask Spread as of Jan 03, 2025 0.03% Portfolio Characteristics Number of Holdings as of Jan 03, 2025 50 30 Day SEC Yield as of Nov 30, 2024 2.42% Standard Deviation (3y) as of Nov 30, 2024 34.19% P/B Ratio as of Jan 02, 2025 1.49 Equity Beta ...
Market Price is based on the midpoint of the bid/ask spread at 4 p.m. ET and does not represent the returns an investor would receive if shares were traded at other times. Fund inception date: 08/22/2023 Bloomberg US 1000 Growth Index: provides exposure to companies with superior growth...