SSRN Electronic Journal · 1996 · 32 citations · 8 references
Open access
BusinessBusiness EconomicsEconomicsFinancial EconomicsMicroeconomicsPricing TheoryAsymmetric InformationInformation AsymmetryMarket LiquidityMarket MicrostructurePricing DecisionsPricing Under UncertaintyBuy-depth DecisionsLiquidity Risk PricingMarket Microstructure ModelsMicrostructureMicrostructure EffectsPrior Probability EffectsTerminal Value AssumptionTerminal Value Modeling
There are two distinct components to a specialist's price schedule, prices and debths. This paper presents a model of a specialist's problem of choosing prices and debths jointly in order to maximize profits.
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Price, trade size, and information in securities markets
David Easley, Maureen O’Hara · Journal of Financial Economics · 1987 · 2.3K citations
Estimating the components of the bid/ask spread
Lawrence R. Glosten, Lawrence Harris · Journal of Financial Economics · 1988 · 1.7K citations
Business, Economics, Auction Theory +10
The Components of the Bid-Ask Spread: A General Approach
Roger D. Huang, Hans R. Stoll · Review of Financial Studies · 1997 · 1.2K citations