Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low...

download Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

of 84

Transcript of Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low...

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    1/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    2/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    3/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    4/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    5/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    6/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    7/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    8/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    9/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    10/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    11/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    12/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    13/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    14/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    15/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    16/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    17/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    18/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    19/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    20/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    21/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    22/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    23/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    24/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    25/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    26/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    27/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    28/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    29/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    30/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    31/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    32/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    33/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    34/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    35/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    36/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    37/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    38/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    39/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    40/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    41/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    42/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    43/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    44/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    45/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    46/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    47/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    48/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    49/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    50/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    51/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    52/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    53/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    54/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    55/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    56/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    57/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    58/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    59/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    60/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    61/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    62/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    63/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    64/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    65/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    66/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    67/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    68/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    69/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    70/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    71/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    72/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    73/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    74/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    75/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    76/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    77/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    78/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    79/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    80/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    81/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    82/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    83/84

  • 7/29/2019 Shane_Corwin_Paul_Schultz_2011JF_ a Simple Way to Estimate Bid-Ask Spreads From Daily High and Low Prices

    84/84


Screen Information, Trader Activity, and Bid-Ask Spreads in a ......Screen Information, Trader Activity, and Bid-Ask Spreads in a Limit Order Market Mark Coppejans Department of Economics

Screen Information, Trader Activity, and Bid-Ask Spreads in a ......Screen Information, Trader Activity, and Bid-Ask Spreads in a Limit Order Market Mark Coppejans Department of Economics

Bid-Function Envelopes or How to Estimate Capitalization

Bid-Function Envelopes or How to Estimate Capitalization

I Predicting Bid-Ask Spreads L R Using Long Memory E ...sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-044.pdf · Figure 2: Histogram and typical pattern of the 30s bid-ask spreads

I Predicting Bid-Ask Spreads L R Using Long Memory E ...sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-044.pdf · Figure 2: Histogram and typical pattern of the 30s bid-ask spreads

Plan#Name Bid Date & Time OPR# Location Estimate Project Type

Plan#Name Bid Date & Time OPR# Location Estimate Project Type

Estimate Example Using Bid Tab Plus (The 3 Steps) - IN.gov · 2012-02-10 · Estimate Example Using Bid Tab Plus (The 3 Steps) ... Word Copying, Pasting: It ... to copy, (Ctrl + V)

Estimate Example Using Bid Tab Plus (The 3 Steps) - IN.gov · 2012-02-10 · Estimate Example Using Bid Tab Plus (The 3 Steps) ... Word Copying, Pasting: It ... to copy, (Ctrl + V)

Chapter 13 &14 Dealers and Bid-Ask Spreads

Chapter 13 &14 Dealers and Bid-Ask Spreads

Bid ask spreads in the retail currency exchange offices (Master's Thesis)

Bid ask spreads in the retail currency exchange offices (Master's Thesis)

Bid-Ask Spreads and Volume:The Role of Trade Timing · Bid-Ask Spreads and Volume:The Role of Trade ... The focus of the analysis is ... style formulation to study timing and bid-ask

Bid-Ask Spreads and Volume:The Role of Trade Timing · Bid-Ask Spreads and Volume:The Role of Trade ... The focus of the analysis is ... style formulation to study timing and bid-ask

Price Risk and Bid-Ask Spreads of Currency Options17May200

Price Risk and Bid-Ask Spreads of Currency Options17May200

THE VOLATILITY OF BID-ASK SPREADS copy available at: 2266039 THE VOLATILITY OF BID-ASK SPREADS By Benjamin M. Blau a and Ryan J. Whitby b Abstract:

THE VOLATILITY OF BID-ASK SPREADS copy available at: 2266039 THE VOLATILITY OF BID-ASK SPREADS By Benjamin M. Blau a and Ryan J. Whitby b Abstract:

Competitive Bid/Ask spreads - Trader.getrader.ge/uploads/pricing/CFDs/Trading Conditions/Stock Index... · Competitive Bid/Ask spreads When trading Index-Tracking CFDs with G&T TRADER,

Competitive Bid/Ask spreads - Trader.getrader.ge/uploads/pricing/CFDs/Trading Conditions/Stock Index... · Competitive Bid/Ask spreads When trading Index-Tracking CFDs with G&T TRADER,

Endogenous Tick Sizes, Bid-Ask Spreads, Depth, and Trading Volumes

Endogenous Tick Sizes, Bid-Ask Spreads, Depth, and Trading Volumes

Bid offer spreads for interest rate swaps and U.S ...

Bid offer spreads for interest rate swaps and U.S ...

WORLD COINS & BANKNOTES Opening Bid Low Estimate High … · 2017. 4. 20. · Lot No. WORLD COINS & BANKNOTES Opening Bid Low Estimate High Estimate 1 Austria; Lot of 1780 Thaler

WORLD COINS & BANKNOTES Opening Bid Low Estimate High … · 2017. 4. 20. · Lot No. WORLD COINS & BANKNOTES Opening Bid Low Estimate High Estimate 1 Austria; Lot of 1780 Thaler

Equilibrium bid-ask spreads - Collegio Carlo Alberto · 2018. 11. 12. · Equilibrium bid-ask spreads and the e ect of competitive trading delays Elisa Luciano, Antonella olomeoT

Equilibrium bid-ask spreads - Collegio Carlo Alberto · 2018. 11. 12. · Equilibrium bid-ask spreads and the e ect of competitive trading delays Elisa Luciano, Antonella olomeoT

Sovereign Credit Ratings and Spreads in Emerging Markets ......Cantor and Packer (1996) estimate that a one-notch deterioration in credit ratings raises spreads by 25 percent. Kaminsky

Sovereign Credit Ratings and Spreads in Emerging Markets ......Cantor and Packer (1996) estimate that a one-notch deterioration in credit ratings raises spreads by 25 percent. Kaminsky

Estimate Example Using Bid Tab Plus (The 3 Steps)

Estimate Example Using Bid Tab Plus (The 3 Steps)

Bid-Ask Spreads in Commodity Futures Markets · Bid-Ask Spreads in Commodity Futures ... automating trading in their commodity futures ... an impact on the accuracy of spread estimates.

Bid-Ask Spreads in Commodity Futures Markets · Bid-Ask Spreads in Commodity Futures ... automating trading in their commodity futures ... an impact on the accuracy of spread estimates.

Using Yield Spreads to Estimate Expected Returns on Debt ...facultyresearch.london.edu/docs/SSRN_ID387380_code030403540.pdf · Using Yield Spreads to Estimate Expected Returns on

Using Yield Spreads to Estimate Expected Returns on Debt ...facultyresearch.london.edu/docs/SSRN_ID387380_code030403540.pdf · Using Yield Spreads to Estimate Expected Returns on

Shane A. Corwin and Paul Schultzscorwin/documents/high-low_spreads.pdf · A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices Shane A. Corwin and Paul Schultz*

Shane A. Corwin and Paul Schultzscorwin/documents/high-low_spreads.pdf · A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices Shane A. Corwin and Paul Schultz*