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指値注文市場における均衡ビッド・アスク・スプレッド
https://doi.org/10.18999/ecos.54.2.1
https://doi.org/10.18999/ecos.54.2.12d407cf5-6458-4500-b2fd-f28d945a63fc
名前 / ファイル | ライセンス | アクション |
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2008-09-03 | |||||
タイトル | ||||||
タイトル | 指値注文市場における均衡ビッド・アスク・スプレッド | |||||
その他のタイトル | ||||||
その他のタイトル | An Analysis of Equilibrium Bid-Ask Spreads in Limit Order Markets | |||||
著者 |
太田, 亘
× 太田, 亘× OHTA, Wataru |
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抄録 | ||||||
内容記述 | This article investigates the optimal order submission strategies and the expected bid-ask spread in the equilibrium of limit order markets. In submitting orders to limit order markets, traders can choose market orders or limit orders. If a market order is more advantageous than a limit order, a trader submits a market order, and vice versa. As a result, in an equilibrium, the bid-ask spread is formed by marginal traders for whom a limit order and a market order are indifferent. In our analysis, limit orders are assumed to expire one period after their submission to simplify the states of the limit order book. The model predicts that the bid-ask spread is narrower if incoming orders are more plentiful, if a larger number of traders are patient, and if the transaction fee of market orders is larger. The bid-ask spread is more volatile when there are fewer hours before the close of the market. In addition, the small tick size can make the bid-ask spread wide. | |||||
内容記述タイプ | Abstract | |||||
出版者 | ||||||
出版者 | 名古屋大学大学院経済学研究科 | |||||
言語 | ||||||
言語 | jpn | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||
タイプ | departmental bulletin paper | |||||
ID登録 | ||||||
ID登録 | 10.18999/ecos.54.2.1 | |||||
ID登録タイプ | JaLC | |||||
ISSN(print) | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 0022-9725 | |||||
書誌情報 |
経済科学 巻 54, 号 2, p. 1-13, 発行日 2006-09-30 |
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フォーマット | ||||||
application/pdf | ||||||
著者版フラグ | ||||||
値 | publisher | |||||
URI | ||||||
識別子 | http://hdl.handle.net/2237/10493 | |||||
識別子タイプ | HDL |