Trend arbitrage, bid-ask spread and market dynamics

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dc.creatorZaitsev, Nikolai
dc.date2006-07-10
dc.date.accessioned2026-07-07T12:07:46Z
dc.date.available2026-07-07T12:07:46Z
dc.descriptionMicrostructure of market dynamics is studied through analysis of tick price data. Linear trend is introduced as a tool for such analysis. Trend arbitrage inequality is developed and tested. The inequality sets limiting relationship between trend, bid-ask spread, market reaction and average update frequency of price information. Average time of market reaction is measured from market data. This parameter is interpreted as a constant value of the stock exchange and is attributed to the latency of exchange reaction to actions of traders. This latency and cost of trade are shown to be the main limit of bid-ask spread. Data analysis also suggests some relationships between trend, bid-ask spread and average frequency of price update process.
dc.description21 pages, 15 figures, 3 tables, submitted to "Quantitative Finance"
dc.identifierhttps://arxiv.org/abs/physics/0607076
dc.identifierhttp://arxiv.org/abs/physics/0607076
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209090
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleTrend arbitrage, bid-ask spread and market dynamics
dc.typetext

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