hard · Volume Profile Analysis
Using Roll's model of market microstructure, you observe that the first-order autocovariance of price changes in a thinly traded instrument is -0.04.
What is the estimated effective bid-ask spread (ŝ)?
- ŝ = 0.16
- ŝ = 0.08
- ŝ = 0.20
- ŝ = 0.40
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