Estimating the effective BID/ASK spread from time and sales data

Tom Smith*, Robert E. Whaley

*Corresponding author for this work

Research output: Contribution to journalArticle

57 Citations (Scopus)
Original languageEnglish
Pages (from-to)437-455
Number of pages19
JournalThe Journal of Futures Markets
Volume14
Issue number4
DOIs
Publication statusPublished - 1994
Externally publishedYes

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