Bid-Ask Bounce and Spreads in Foreign Exchange Futures Market

• المؤلفون الرئيسيون: DING, David K., Chu, Q.C., Pyun, C.S.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1996
• الموضوعات: Business
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/1169; https://doi.org/10.1007/bf00290794

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...