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Quantitative Finance · Begrippenlijst

Wat is Quoted spread?

Definition 5.1 Microstructure and Execution · Hoofdstuk 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.

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