The sources of trading friction are studied, and simple, robust empirical measures of friction
are provided. Seven distinct measures of trading friction are computed from transactions data …

The relation between the square of the quoted bid‐ask spread and two serial covariances—the
serial covariance of transaction returns and the serial covariance of quoted returns—is …

THERE HAS BEEN much discussion of a policy nature about the function of dealers in equity
securities markets, the efficiency of different methods of providing dealer services and the …

A simple time-series market microstructure model is constructed within which existing models
of spread components are reconciled. We show that existing models fail to decompose the …

The paper examines the optimal behavior of a single dealer who is faced with a stochastic
demand to trade (modeled by a continuous time Poisson jump process) and facing return risk …

THE GROWTH IN THE VOLUME of stock market activity and the increased sophistication of
investors has brought with it greater interest and activity in the related, albeit more …

To what extent are the empirical regularities implied by market microstructure theories useful
in predicting the short-run behavior of stock returns? A two-equation econometric model of …

Execution costs, as measured by the quoted spread, the effective spread (which accounts
for trades inside the quotes), the realized spread (which measures revenues of suppliers of …

This study analyzes the information transmission mechanism linking oil futures with stock
prices, where we examine the lead and lag cross-correlations of returns in one market with the …

In rational, efficiently functioning markets, the returns on stock index and stock index futures
contracts should be perfectly, contemporaneously correlated. This study investigates the …