搜索结果: 1-1 共查到“数量经济学 large tick assets”相关记录1条 . 查询时间(0.071 秒)
Large tick assets: implicit spread and optimal tick size
Microstructure of nancial markets high frequency data large tick assets implicit spread market making limit orders market orders optimal tick size.
2012/9/14
In this work, we bring to light a quantity, referred to as implicit spread, playing the role of spread for large tick assets, for which the e ective spread is almost always equal to one tick. The rele...