You have been provided with the following extraction from limit order book on a day trading...

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You have been provided with the following extraction from limit order book on a day trading activity of a share. ith limit 1 2 3 4 01 5 Buy Orders Bid Quantity 3,418 4,292 3,895 2,101 2,244 Bid Price $19.12 $18.65 $18.88 $18.76 $18.92 Sell orders Ask Quantity 2,468 3,649 4,957 4,925 3,589 You are required to 1. calculate the bid and ask spread. Explain how you can use the bid and ask spread to measure the liquidity risk. Ask Price $22.00 $20.98 $21.28 $21.09 $21.19 You have been provided with the following extraction from limit order book on a day trading activity of a share. ith limit 1 2 3 4 01 5 Buy Orders Bid Quantity 3,418 4,292 3,895 2,101 2,244 Bid Price $19.12 $18.65 $18.88 $18.76 $18.92 Sell orders Ask Quantity 2,468 3,649 4,957 4,925 3,589 You are required to 1. calculate the bid and ask spread. Explain how you can use the bid and ask spread to measure the liquidity risk. Ask Price $22.00 $20.98 $21.28 $21.09 $21.19

Answer rating: 100% (QA)

To calculate the bid and ask spread we need to find the difference between the highest bid price and the lowest ask price The bid spread represents th... View the full answer