medium · Market Microstructure
An analyst calculates the autocovariance of price changes for a security to be Cov(Δ P_t, Δ P_t+1) = -0.0036.
According to Roll's (1984) model, what is the estimated bid-ask spread for this security?
- $0.144
- $0.06
- $0.24
- $0.12
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