Hot answers tagged

2

I reckon it's the $\frac{log(ASK)+log(BID)}{2}$, just simple arithmetic average as it makes sense, also considering logarithmic returns, when you can only take a differences from log prices. Also, the second alternative would yield negative 'prices' for spreads lower than 1, which cannot serve as a 'price' indicator.



Only top voted, non community-wiki answers of a minimum length are eligible