Comparing their market values of equity

Reference no: EM133331561

Question: Use the Vayu app to determine the bid-ask spread for the large cap stock and the small cap stock in your E-trade account. Select any date that is particularly interesting, and download the effective bid-ask spread for the two stocks for the entire trading day. Plot the spread at half-hour intervals, and comment on changes in the intra-day spread . Explain the differences in spread between the two stocks by:

a) comparing their market values of equity

b) comparing their daily trading volumes.

c) comparing their volatilities during the trading day: Use the Vayu app to determine the volatility.

d) Compare the auto-correlation in price changes for each of the two stocks using the Vayu app. Comment on any relationship between the auto-correlation and effective spread.

Reference no: EM133331561

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