New moment estimators of the effective spread based on daily high and low prices

DOI10.1007/S11424-019-7364-4zbMath1429.91304OpenAlexW3123705388WikidataQ126589147 ScholiaQ126589147MaRDI QIDQ2287378

Yaojun Wang, Yang Gao, Mingjin Wang

Publication date: 20 January 2020

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-019-7364-4

zbMATH Keywords

volatilityliquiditybid-ask spreadasymptotic propertyprice range

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Continuous Auctions and Insider Trading
• What Are the Best Liquidity Proxies for Global Research?*
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables

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