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Barret Shao on Muck Rack

Barret Shao

As seen in: Taylor & Francis Online
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Articles

Beyond the bid-ask: strategic insights into spread prediction and the global mid-price phenomenon

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By Frank Fabozzi, Yifan He, Abootaleb Shirvani, Barret Shao
| Taylor & Francis Online
Abstract This research extends the conventional concepts of the bid–ask spread (BAS) and mid-price to include the total market order book bid–ask spread (TMOBBAS) and the global mid-price (GMP). Using high-frequency trading data, we investigate these new constructs, finding that they have heavy tails and significant deviations from normality in the distributions of their log returns, which are confirmed by three different methods.
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