... Finance, The Journal of Banking and Finance, The Journal of Finance, The Journal of Financial Economics, The Journal of Financial & QuantitativeAnalysis, The Journal of Industrial Economics, The ... (1)where vδis the volatility of the asset value (δ being the asset’s terminal payoff),R the risk aversion of the market maker, vz the volatility of noise trading, and nis the number of informed ... execution price and the midpoint of the prevailing bid-ask quote, RESPR: the effective spread divided by the mid-point of the prevailing bid-ask quote (%), DEPTH: the average of the quoted bid and ask...