2002 Volume 2002 Pages 20020002
We present estimation methodology for market information with Bid-Ask spread. The Bid-Ask spread has been explained as the result from overall market players’ intention in market microstructure theory[1]. We focus on Bid-Ask spread transition after market opening, and interpret it caused by information effect. Our approach is based on modeling methodology for viscoelastic material that can consider memory effect by information in market system. Under the modeling process, we suggest new parameter that related to response effect and relaxation time effect of information in financial market. Lastly we show the model explain Bid-Ask spread transition and try to estimate market information in Japanese equity market empirically.
