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A new spread estimator
Michael Bleaney, Zhiyong Li
Research output
:
Journal Publication
›
Article
›
peer-review
3
Citations (Scopus)
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Keyphrases
Covariance
100%
Mid-price
100%
Search Methods
50%
Monte Carlo Simulation
50%
Bid-ask Spread
50%
Price Return
50%
Transaction Price
50%
Trade Direction
50%
Economics, Econometrics and Finance
Bid-Ask Spread
100%
Monte Carlo Simulation
100%