Giacomelli, Riccardo; Luciano, Elisa - Collegio Carlo Alberto, Università degli Studi di Torino - 2011
The paper studies the equilibrium value of bid-ask spreads and time- to-trade in a continuous-time, intermediated fi?nancial market. The en- dogenous spreads are the price at which brokers are willing to offer imme- diacy. They include physical trading costs. Traders intervene optimally, when...