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- W2076806670 abstract "Abstract This paper presents evidence of long-range dependence in bid–ask prices for individual equity prices in the Brazilian stock market. Moreover, using the Hurst exponent calculated by the Local Whittle method as a measure of long-range dependence, we find evidence supporting that bid–ask prices shows a stronger long-range dependence than the one usually found in closing and opening prices. Finally, we show that bid–ask prices may be characterized by a distribution that decays as a power law reinforcing the results of Plerou et al. [Quantifying fluctuations in market liquidity: analysis of the bid–ask spread, Phys. Rev. E 71 (2005) 046131]." @default.
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- W2076806670 date "2007-01-01" @default.
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- W2076806670 title "Characterizing bid–ask prices in the Brazilian equity market" @default.
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- W2076806670 doi "https://doi.org/10.1016/j.physa.2006.04.106" @default.
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