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A stock has traded at an average price of $100 over the course of a trading day. The covariance of successive transaction price changes (trade-bytrade

A stock has traded at an average price of $100 over the course of a trading day. The covariance of successive transaction price changes (trade-bytrade changes in price) is about -0.06. Using the Roll model, what is the estimate of the bid-ask spread of the stock (measured in percent of the average price of $100)?

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