Bid-Ask Bounce and Spreads in Foreign Exchange Futures Market
This paper examines the intraday bid-ask bounce in Deutschemark and Japanese yen futures prices. The intraday Markovian bid-ask bounce process, which leads to a desirable equilibrium condition of reaching a bid or an ask transaction type with equal chances, is identified. A second-order Markov chain...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
1996
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/1169 https://doi.org/10.1007/bf00290794 |
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