Answered step by step
Verified Expert Solution
Question
1 Approved Answer
The Glosten-Harris model is an improvement of the Roll model which takes into account also price impact. In this model the trade price pt is
The Glosten-Harris model is an improvement of the Roll model which takes into account also price impact. In this model the trade price pt is given by (1) pt =mt +cdt +xt where the efficient price mt contains also a price impact xt1 due to the previous trade (2) mt =mt1 +xt1 +u
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Microeconomics
Authors: Dean Karlan, Jonathan Morduch
1st edition
978-0077332587, 007733258X, 978-0077332648, 77332644, 978-1259163531
