{"title":"电子通讯网络，做市商和买卖价差的组成部分","authors":"P.R. Daves, T. S. Strother, James W. Wansley","doi":"10.2139/ssrn.1024867","DOIUrl":null,"url":null,"abstract":"Purpose - The purpose of this paper is to investigate how quotes originating via electronic communication networks (ECN)s affect trading costs. Design/methodology/approach - In order to investigate the relations between trading costs and quotation venue, the bid-ask spread is decomposed into its theoretical cost components associated with adverse selection, inventory handling, and order processing. Findings - Stoll's adverse selection costs of ECN-originated quotes relate positively to effective spreads, while Lin Originality/value - The paper shows how trading costs relate to trading venue choice by decomposing the bid-ask spread.","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"10 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"Electronic Communication Networks, Market Makers, and the Components of the Bid-Ask Spread\",\"authors\":\"P.R. Daves, T. S. Strother, James W. Wansley\",\"doi\":\"10.2139/ssrn.1024867\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Purpose - The purpose of this paper is to investigate how quotes originating via electronic communication networks (ECN)s affect trading costs. Design/methodology/approach - In order to investigate the relations between trading costs and quotation venue, the bid-ask spread is decomposed into its theoretical cost components associated with adverse selection, inventory handling, and order processing. Findings - Stoll's adverse selection costs of ECN-originated quotes relate positively to effective spreads, while Lin Originality/value - The paper shows how trading costs relate to trading venue choice by decomposing the bid-ask spread.\",\"PeriodicalId\":129812,\"journal\":{\"name\":\"Financial Engineering eJournal\",\"volume\":\"10 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2008-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Financial Engineering eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1024867\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Engineering eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1024867","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Electronic Communication Networks, Market Makers, and the Components of the Bid-Ask Spread
Purpose - The purpose of this paper is to investigate how quotes originating via electronic communication networks (ECN)s affect trading costs. Design/methodology/approach - In order to investigate the relations between trading costs and quotation venue, the bid-ask spread is decomposed into its theoretical cost components associated with adverse selection, inventory handling, and order processing. Findings - Stoll's adverse selection costs of ECN-originated quotes relate positively to effective spreads, while Lin Originality/value - The paper shows how trading costs relate to trading venue choice by decomposing the bid-ask spread.
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