Essays about: "Bo Liljefors"

Found 1 essay containing the words Bo Liljefors.

  1. 1. Bid-Ask Spread Dynamics - A Market Microstructure Invariance Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Bo Liljefors; Wilhelm Jansson; [2011]
    Keywords : Market Microstructure Invariance; Bid-Ask Spread; Bond Futures; Business and Economics;

    Abstract : The theory of Market Microstructure Invariance proposed by Kyle and Obizhaeva (2010) is presented and tested on spread data for bond futures. The data used are transformations from over 150,000 observations of futures on German government debt securities (Schatz and Bund) and 10-year US treasury notes. READ MORE