Characterizing bid-ask prices in the Brazilian equity market

Physica A: Statistical Mechanics and its Applications

Volumn 373, Issue , 2007, Pages 627-633

  Cajueiro, Daniel O ^a   Tabak, Benjamin M ^b  

^a UNIVERSIDADE CATÓLICA DE BRASÍLIA   (Brazil)

^b BANCO CENTRAL DO BRASIL   (Brazil)

Author keywords

Bid ask spreads; Emerging equity markets; Hurst exponents; Long range dependence; Market microstructure

Indexed keywords

COST ACCOUNTING; ECONOMICS; MARKETING;

BID ASK SPREADS; EMERGING EQUITY MARKETS; HURST EXPONENTS; LONG RANGE DEPENDENCE; MARKET MICROSTRUCTURE;

FINANCE;

EID: 33751049655     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.04.106     Document Type: Article

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