A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2005; you can also visit the original URL.
The file type is
Stocks and other financial assets are traded at prices that lie on a fixed grid determined by the minimum tick size. Observed prices and quoted spreads do not correspond to the equilibrium prices and true spreads that would exist in a market with no minimum tick size. Using Monte Carlo Markov Chain methods, this paper estimates the equilibrium prices and true spreads. For large stocks, most of the quoted spread is attributable to the rounding of prices and the adverse selection component isdoi:10.2139/ssrn.168428 fatcat:6qdsajtu4rdopopijs5gat3o6u