dc.contributor.author | Bouchaud, Jean-Philippe | de |
dc.contributor.author | Vettorazzo, Michele | de |
dc.contributor.author | Kockelkoren, Julien | de |
dc.contributor.author | Wyart, Matthieu | de |
dc.contributor.author | Potters, M | de |
dc.date.accessioned | 2011-02-23T03:44:00Z | de |
dc.date.accessioned | 2012-08-29T23:07:46Z | |
dc.date.available | 2012-08-29T23:07:46Z | |
dc.date.issued | 2007 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/22105 | |
dc.description.abstract | We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the spread and the lag-dependent impact function. Imposing that any market taking or liquidity providing strategies is at best marginally profitable, we obtain a linear relation between the bid-ask spread and the instantaneous impact of market orders, in good agreement with our empirical observations on electronic markets. We then use this relation to justify a strong, and hitherto unnoticed, empirical correlation between the spread and the volatility per trade, with R2s exceeding 0.9. This correlation suggests both that the main determinant of the bid-ask spread is adverse selection, and that most of the volatility comes from trade impact. We argue that the role of the time-horizon appearing in the definition of costs is crucial and that long-range correlations in the order flow, overlooked in previous studies, must be carefully factored in. We find that the spread is significantly larger on the NYSE, a liquid market with specialists, where monopoly rents appear to be present. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | Microstructure; Bid-ask spread; Impact; Liquidity | |
dc.title | Relation between Bid-Ask Spread, Impact and Volatility in Order-Driven Markets | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Quantitative Finance | de |
dc.source.volume | 8 | de |
dc.publisher.country | GBR | |
dc.source.issue | 1 | de |
dc.subject.classoz | Öffentliche Finanzen und Finanzwissenschaft | de |
dc.subject.classoz | Public Finance | en |
dc.identifier.urn | urn:nbn:de:0168-ssoar-221056 | de |
dc.date.modified | 2011-03-15T13:28:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 41-57 | |
internal.identifier.classoz | 1090303 | |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1080/14697680701344515 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | UNCERTAIN | |