Todos los libros

Profesional

Apps Acerca de Coach Iniciar sesión Empezar a leer

Quantitative Finance · Glosario

¿Qué es Quoted spread?

Definition 5.1 Microstructure and Execution · Capítulo 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.

Leer en el capítulo →