To make high-quality research more accessible and easier to explore.
Fields:
16 results
What Lockbox and Disbursement Models Really Do
Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread
By considering investor order placement strategy, this paper demonstrates that transaction costs cause bid-ask spreads to be an equilibrium property of asset markets. With transaction costs, the probability of a limit order executing does not go to unity as the order is placed infinitesimally close to a counterpart market quote; thus, with certainty of execution at the counterpart market quote, a "gravitational pull" is generated that keeps counterpart quotes from being placed infinitesimally close to each other. An equilibrium spread is defined and its size linked to market thinness; implications are noted for the design of a trading system.
Market Makers and the Market Spread: A Review of Recent Literature
Kalman J. Cohen, Steven F. Maier, Robert A. Schwartz, David K. Whitcomb, Market Makers and the Market Spread: A Review of Recent Literature, The Journal of Financial and Quantitative Analysis, Vol. 14, No. 4, Proceedings of 14th Annual Conference of the Western Finance Association, June 21-23, 1979 (Nov., 1979), pp. 813-814+816-835
An analysis of the economic justification for consolidation in a secondary security market
A Monte Carlo Investigation of Characteristics of Optimal Geometric Mean Portfolios
Steven F. Maier, David W. Peterson, James H. Vander Weide, A Monte Carlo Investigation of Characteristics of Optimal Geometric Mean Portfolios, The Journal of Financial and Quantitative Analysis, Vol. 12, No. 2 (Jun., 1977), pp. 215-233
THE RETURNS GENERATION PROCESS, RETURNS VARIANCE, AND THE EFFECT OF THINNESS IN SECURITIES MARKETS
LIMIT ORDERS, MARKET STRUCTURE, AND THE RETURNS GENERATION PROCESS
Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread
By considering investor order placement strategy, this paper demonstrates that transaction costs cause bid-ask spreads to be an equilibrium property of asset markets. With transaction costs, the probability of a limit order executing does not go to unity as the order is placed infinitesimally close to a counterpart market quote; thus, with certainty of execution at the counterpart market quote, a "gravitational pull" is generated that keeps counterpart quotes from being placed infinitesimally close to each other. An equilibrium spread is defined and its size linked to market thinness; implications are noted for the design of a trading system.