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标题: Effective Spread [打印本页]

作者: LBriscoe 时间: 2011-7-11 19:12 标题: Effective Spread

Can someone explain the logic of the effective spread calculation. Mainly, why do we multiply the difference between the execution price and midquote by 2? and then compare it to the quoted spread?

作者: oneboy 时间: 2011-7-11 19:12

Which is the correct calculations for effective spread: 2( Execution - Midpoint) or
2( Midpoint - Execution). The CFA text use it both ways see the bottom of pg 13 and calculations on pg 14 in volume 6 (2010 series)

作者: Darien 时间: 2011-7-11 19:12

Depends on whether you are buying or selling, makes sense?

作者: Windjam 时间: 2011-7-11 19:12

Perhaps it helps to visualize:

--------------------------Bid-----------------------Mid------------------------Ask--------------------------

<--seller underpaid-->||<-------seller happy---------------------------------------------------------->

<-----------------------------------------------------buyer happy--------->||<---buyer ovepaid------>

作者: mp3bu 时间: 2011-7-11 19:12

.

Edited 1 time(s). Last edit at Sunday, May 8, 2011 at 08:52AM by deriv108.

作者: dyga 时间: 2011-7-11 19:12

1. When executed price is bid or ask of the quote
2. don't know how it can be gamed.

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