All books

Professional

Apps About Coach Log in Start reading

Quantitative Finance · Glossary

What is Quoted spread?

Definition 5.1 Microstructure and Execution · Chapter 5 — Decomposing the Spread

The quoted spread at time tt is at−bta_t-b_t, the best ask minus the best bid; the relative quoted spread divides it by the mid mt=12(at+bt)m_t=\tfrac12(a_t+b_t). Averaged over a period, it is weighted by the time each quote was in force.

Read in context →