RDP 8707: Asymmetric Information and Bid-Ask Spreads in the Eurocurrency Markets
Equation
z
i
=
E
(
v
|
P
,
ε
)
a
var
(
v
|
P
,
ε
)
−
x
i
=
(
1
+
η
+
ε
)
−
(
1
+
η
)
a
σ
u
2
−
x
i
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