Spreads

The price of immediacy, measured from quotes, from trades, and from prices alone.

Demsetz: the bid-ask spread as the price of immediacy

Demsetz: the bid-ask spread as the price of immediacy

Roll’s spread estimator

Roll's spread estimator

Lee and Ready’s trade classification

Lee and Ready's trade classification

Corwin and Schultz’s high-low spread estimator

Corwin and Schultz's high-low spread estimator