The quoted spread at time is , the best ask minus the best bid; the relative quoted spread divides it by the mid . Averaged over a period, it is weighted by the time each quote was in force.
Quantitative Finance · Glossário
Quantitative Finance · Glossário
The quoted spread at time is , the best ask minus the best bid; the relative quoted spread divides it by the mid . Averaged over a period, it is weighted by the time each quote was in force.