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Utility maximization in markets with bid–ask spreads

✍ Scribed by Castañeda-Leyva, Netzahualcóyotl; Hernández-Hernández, Daniel


Book ID
115524726
Publisher
Taylor and Francis Group
Year
2011
Tongue
English
Weight
259 KB
Volume
83
Category
Article
ISSN
1744-2508

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2See Kamara (1988) for a discussion why price disparities between substitute goods traded in different 'For example, see Amihud and Mendelson (1987), Haller andStoll (1989), and Hasbrouck and Ho (1987). markets are due to market microstructure differences. 'Regarding the second source of bias, Roll