Estimating the effective BID/ASK spread from time and sales data

Smith, Tom and Whaley, Robert E. (1994) Estimating the effective BID/ASK spread from time and sales data. Journal of Futures Markets, 14 4: 437-455. doi:10.1002/fut.3990140406


Author Smith, Tom
Whaley, Robert E.
Title Estimating the effective BID/ASK spread from time and sales data
Journal name Journal of Futures Markets   Check publisher's open access policy
ISSN 0270-7314
1096-9934
Publication date 1994-06-01
Sub-type Article (original research)
DOI 10.1002/fut.3990140406
Open Access Status Not Open Access
Volume 14
Issue 4
Start page 437
End page 455
Total pages 19
Place of publication Hoboken, NJ, United States
Publisher John Wiley & Sons
Language eng
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 36 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 51 times in Scopus Article | Citations
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Created: Thu, 24 May 2012, 19:39:25 EST by Karen Morgan on behalf of UQ Business School