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In: Mark D. Flood and Oliver R. Goodenough, Contract as automaton: representing a simple financial agreement in computational form. Artificial Intelligence and Law 30, 391–416 (2022). https://doi.org/10.1007/s10506-021-09300-9
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Working paper
In: OFR 15-13
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In: Handbook of Financial Data and Risk Information, Volume I, M. Brose, M. Flood, D. Krishna and W. Nichols, eds., Cambridge University Press, 2014
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Working paper
In: Journal of Banking and Finance, Forthcoming
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In: NBER Working Paper No. w23755
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Dealers need to search for quotes in many of the world's largest markets (such as spot foreign exchange, US government bonds, and the London Stock Exchange). This search affects trading cost. We estimate the share of total trading cost attributable to search. Our experiments show that the share is large -- roughly one-third of the effective spread. Past work on estimating spread components typically omits the search component. Our estimates suggest this omission is important.
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