运筹与管理2017，Vol.26Issue(3)：43-53,11.DOI:10.12005/orms.2017.0056
基于价格极值构建有效价差的广义矩估计
Construction of Generalized Method of Moments of Effective Spread Estimators based on Price Ranges
摘要
Abstract
This paper combines the information from daily high and low prices and constructs the new estimators for the effective bid-ask spread by the Generalized Method of Moments(GMM)based on the High-Low estimator proposed by Corwin and Schultz (2012).Then the numerical simulation studies are conducted to compare the estimation accuracy between the GMM estimators based on price ranges and other three common spread estimators in the literature,namely the Roll covariance estimator,Bayes estimator and High-Low estimator.Simulation results reveal that whether in the ideal case that the prices can be observed continuously or in the realistic unideal case and the volatility is relatively small,GMM estimators are more accurate than the other three estimators.Furthermore,an empirical study in Chinese stock markets also demonstrates that the estimated accuracy of the proposed GMM estimators is better than the other three estimators.Therefore,the proposed GMM estimators provide an effective method to measure the trading costs of financial assets.关键词
流动性/买卖价差/波动率/价格极值Key words
liquidity/bid-ask spread/volatility/price range分类
管理科学引用本文复制引用
高扬,王超..基于价格极值构建有效价差的广义矩估计[J].运筹与管理,2017,26(3):43-53,11.基金项目
国家自然科学基金资助项目(61273230,61603010,61603011) （61273230,61603010,61603011）
中国博士后科学基金项目(2015M580033,2015M580940) （2015M580033,2015M580940）
