Hi there,
I am stuck at producing the codes for estimating the adverse selection component of the bid-ask spread following Huang and Stoll (1997) model. The estimation is for my researching thesis. Could you please advise me the codes? I appreciate your help. Thank you very much. Best. Phuong Nguyen
What is the formula (or more likely what is the mathematical procedure) for the adverse selection component. I.e. starting with a series of bid-ask spreads, how would you calculate the component?
Hi @mkeintz,
Thank you for your asking. I do not know another best way to explain the model except uploading here the original model from Huang and Stoll (1997). Please have a read and help. Thank you.
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