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Results tagged with spread
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user 252
A spread is a difference between two prices or yields. Bid-ask spreads reflect that the most competitive buyers and sellers want to trade an asset at different prices. Yield spreads reflect a difference in bond tenors, credits, liquidity, optionality, or other features. Option spreads reflect views on prices beyond just positive or negative. Commodity spreads reflect time evolution of supply or demand or the gross producer margin for creating a product.
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Whites Reality Check for Pair Trading
In the book log returns are used, but any return can be used; e.g. dollars made per day on a minimum sized pairs position, the tick value of the spread curve etc. …
- 2,214
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How to account for bid/ask spread when backtesting?
This recent Statalgo blog post outlines a simple theoretical model of bid/ask prices: the Roll model, and also shows how the bid/ask spread can be derived from prices using this model. …
- 2,214