Realized Spread

In Market Micro-structure, the realized half-spread is the difference between the transaction price and the mid-price at some time after the transaction (typically 5 or 10 minutes, depending on market transparency). This time interval should be enough large to take into account any market quotes' adjustment in order to reflect the price impact of the transaction.

Editor: Maria Francesca NUZZO

  • Privacy Policy
  • Cookie Policy
  • Publication Ethics and Malpractice

Copyright © 2019 ASSONEBB. All Rights reserved.