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Post Reopened by lehalle, Bob Jansen♦
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lehalle
lehalle
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Is it always true thatThey are a lot of ways to compute an "estimated bid-ask spread". The most straightforward one is to sample the bid-ask spread sampled beforeon a transaction is smaller thanregular time grid (for instance every second), but that for you need all the spread sampled during any other instant betweenquote changes (a quote is the time duration of these 2 trades?best bid and ask, price and quantity).

This may be justified byUsually it is easier (and cheaper) to get the quotes sampled just before the transactions of the day. Hence it is natural the fact that traders are more willing to accept crossingcompute the average bid ask-ask spread when iton such a database. Unfortunately this sample time is perceived to be less expensivea stopping time and not a deterministic good that is known "a priori".

for example assume Worst than that we have a transactionit is probable that (occurrence ofthe occurence of a trade is not independent of the bid-ask spread: most probably traders or algorithms are making a trade ) at instant $T_5$. Is-off between the spread observed at this time always smaller thancost of crossing the spread observed during the time frame following the trade $T_4$ and that until the occurrencesome predictors or a waiting cost. Because of that the bid-ask spread compute just before a trade $T_5$? Isis in general smaller than the sample spread observed"average bid-ask spread" $T_5$ the smallest among(on a regular time grid).

In this context, the sampled spread observed between $T_4$ and $T_5$original question is: "is the bid-ask spread sampled just before a trade always lower than the bid-ask spread sampled on a regular time grid?"

Is it always true that the bid-ask spread sampled before a transaction is smaller than the spread sampled during any other instant between the time duration of these 2 trades?

This may be justified by the fact that traders are more willing to accept crossing the bid ask spread when it is perceived to be less expensive.

for example assume that we have a transaction (occurrence of a trade ) at instant $T_5$. Is the spread observed at this time always smaller than the spread observed during the time frame following the trade $T_4$ and that until the occurrence of the trade $T_5$? Is the sample spread observed $T_5$ the smallest among the sampled spread observed between $T_4$ and $T_5$

They are a lot of ways to compute an "estimated bid-ask spread". The most straightforward one is to sample the bid-ask on a regular time grid (for instance every second), but that for you need all the quote changes (a quote is the best bid and ask, price and quantity).

Usually it is easier (and cheaper) to get the quotes sampled just before the transactions of the day. Hence it is natural the compute the average bid-ask spread on such a database. Unfortunately this sample time is a stopping time and not a deterministic good that is known "a priori". Worst than that it is probable that the occurence of a trade is not independent of the bid-ask spread: most probably traders or algorithms are making a trade-off between the cost of crossing the spread and some predictors or a waiting cost. Because of that the bid-ask spread compute just before a trade is in general smaller than the "average bid-ask spread" (on a regular time grid).

In this context, the original question is: "is the bid-ask spread sampled just before a trade always lower than the bid-ask spread sampled on a regular time grid?"

Post Closed as "Needs details or clarity" by Kurt G., Dimitri Vulis, Alper
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XY0
XY0
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Is it always true that the bid-ask spread sampled before a transaction is smaller than the spread sampled during any other instant between the time duration of these 2 trades?

This may be justified by the fact that traders are more willing to accept crossing the bid ask spread when it is perceived to be less expensive.

for example assume that we have a transaction (occurrence of a trade ) at instant $T_5$. Is the spread observed at this time always smaller than the spread observed during the time frame following the trade $T_4$ and that until the occurrence of the trade $T_5$? Is the sample spread observed $T_5$ the smallest among the sampled spread observed between $T_4$ and $T_5$

Is it always true that the bid-ask spread sampled before a transaction is smaller than the spread sampled during any other instant between the time duration of 2 trades?

This may be justified by the fact that traders are more willing to accept crossing the bid ask spread when it is perceived to be less expensive.

for example assume that we have a transaction (occurrence of a trade ) at instant $T_5$. Is the spread observed at this time always smaller than the spread observed during the time frame following the trade $T_4$ and that until the occurrence of the trade $T_5$? Is the sample spread observed $T_5$ the smallest among the sampled spread observed between $T_4$ and $T_5$

Is it always true that the bid-ask spread sampled before a transaction is smaller than the spread sampled during any other instant between the time duration of these 2 trades?

This may be justified by the fact that traders are more willing to accept crossing the bid ask spread when it is perceived to be less expensive.

for example assume that we have a transaction (occurrence of a trade ) at instant $T_5$. Is the spread observed at this time always smaller than the spread observed during the time frame following the trade $T_4$ and that until the occurrence of the trade $T_5$? Is the sample spread observed $T_5$ the smallest among the sampled spread observed between $T_4$ and $T_5$

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XY0
XY0
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Is it always true that the bid-ask spread sampled before a transaction is smaller than the spread sampled during any other instant between the time duration of 2 trades?

This may be justified by the fact that traders are more willing to accept crossing the bid ask spread when it is perceived to be less expensive.

for example assume that we have a transaction (occurrence of a trade ) at instant $X_5$$T_5$. Is the spread observed at the time of the trade alwaysthis time always smaller than the spread observed during the time frame following the trade $X_4$$T_4$ and that until the occurrence of the trade $X_5$$T_5$? Is the sample spread observed $T_5$ the smallest among the sampled spread observed between $T_4$ and $T_5$

Is it always true that the bid-ask spread sampled before a transaction is smaller than the spread sampled during any other instant between the time duration of 2 trades?

This may be justified by the fact that traders are more willing to accept crossing the bid ask spread when it is perceived to be less expensive.

for example assume that we have a transaction (occurrence of a trade ) at instant $X_5$. Is the spread observed at the time of the trade always smaller than the spread observed during the time frame following the trade $X_4$ and that until the occurrence of the trade $X_5$?

Is it always true that the bid-ask spread sampled before a transaction is smaller than the spread sampled during any other instant between the time duration of 2 trades?

This may be justified by the fact that traders are more willing to accept crossing the bid ask spread when it is perceived to be less expensive.

for example assume that we have a transaction (occurrence of a trade ) at instant $T_5$. Is the spread observed at this time always smaller than the spread observed during the time frame following the trade $T_4$ and that until the occurrence of the trade $T_5$? Is the sample spread observed $T_5$ the smallest among the sampled spread observed between $T_4$ and $T_5$

added 79 characters in body
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XY0
XY0
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Source Link
XY0
XY0
  • 129
  • 6