An analysis of 'Bid-Ask' spreads considering aspects of risk insurance, degree of competition and market liquidity
Silvia A Gerber-Helbling · White Rose eTheses Online (University of Leeds, The University of Sheffield, University of York) · 1994
An early version of that work was presented at the European Meeting of Econometric Society in Brussels in August 1992.In those joint works the effort and contribution may be attributed to both the authors in equal parts.Section 4.3. in chapter 4 is also collaborative work with Professor Peter Simmons.ll p Cý ] correlation coefficient [cov(.)/(ý ps Pf , Cý price variance in the spot and the futures market Ps Pf (with subscript 1,2 = in period 1,2) U(, ) von-Neuman Morgenstern utility function ,V V 1 value of the portfolio at time t and t+1 t+ t VAR variance V number of buyers in the spot market W number of inactive dealers in the spot market W1, W2 terminal wealth at the end of period 1 and 2 Wo initial wealth at time t X size of purchase (and sale) order (X-Y) difference between purchases and sales Y number of sellers in the spot market Z number of speculators in the futures market vb