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RDP 8707: Asymmetric Information and Bid-Ask Spreads in the Eurocurrency Markets
Equation (A2)
Thus
g
′
(
h
)
−
[
1
d
(
h
)
]
2
{
dn
′
−
nd
′
}
−
g
(
h
)
(
g
(
h
)
−
h
)
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