Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation

Journal of Financial Markets

Volumn 2, Issue 1, 1999, Pages 1-28

  Hasbrouck, Joel ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

C15; Clustering; Discreteness; F31; Foreign exchange; G10; G15; Gibbs sampler; Markov chain Monte Carlo; Quotes; Security prices

Indexed keywords

EID: 0001984574     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(98)00008-1     Document Type: Article

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