Order flow and the bid-ask spread: An empirical probability model of screen-based trading

B-Tier

Journal: Journal of Economic Dynamics and Control

Year: 1997

Volume: 21

Issue: 8-9

Pages: 1471-1491

Authors (3)

Bollerslev, Tim (National Bureau of Economic Re...) Domowitz, Ian (not in RePEc) Wang, Jianxin (University of Technology Sydne...)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count