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Journal Article

Bid-Ask Spread Patterns and the Optimal Timing for Discretionary Liquidity Traders on Xetra

  • Angerer M
  • Peter G
  • Stoeckl S
  • et al.
Schmalenbach Business Review (2018) 70(3) 209-230
DOI: 10.1007/s41464-018-0049-z
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Abstract

This paper explores the statistical and economical significance of intra-day and-week patterns in bid-ask spreads. We investigate a large panel of high frequency data for stocks traded on the XETRA trading platform and observe significant patterns in spreads. In …

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Angerer, M., Peter, G., Stoeckl, S., Wachter, T., Bank, M., & Menichetti, M. (2018). Bid-Ask Spread Patterns and the Optimal Timing for Discretionary Liquidity Traders on Xetra. Schmalenbach Business Review, 70(3), 209–230. https://doi.org/10.1007/s41464-018-0049-z

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