Relation between bid-ask spread and volatility in financial markets

11:15 AM–1:51 PM, Monday, March 13, 2006
Baltimore Convention Center Room: 336

Sponsoring Unit: GSNP
Chair: Victor Yakovenko, University of Maryland

Abstract ID: BAPS.2006.MAR.B33.2

Abstract: B33.00002 : Relation between bid-ask spread and volatility in financial markets

11:27 AM–11:39 AM

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Authors:

Jean-Philippe Bouchaud
(Service de Physique de l'Etat Condense, CEA-Saclay, France)

J. Kockelkoren
M. Potters
M. Wyart

We establish empirically a linear relation between the bid-ask spread and the volatility per trade in stock markets. We give a theoretical argument explaining this relation and why it should hold on all electronic markets.

To cite this abstract, use the following reference: http://meetings.aps.org/link/BAPS.2006.MAR.B33.2

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Bulletin of the American Physical Society

2006 APS March Meeting

Monday–Friday, March 13–17, 2006; Baltimore, MD

Session B33: Financial Markets and Other Applications of Statistical Physics

Abstract: B33.00002 : Relation between bid-ask spread and volatility in financial markets

Authors:

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