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Average Spread Across the Sample of TWSE Taiwan 50 Index
to be Calculated in Following Four Steps:

  • Step 1: Calculation of average spread for each trade in a single stock
    `s\% = 200 * | { p - mp} / {mp} |`
    of which; s is average spread
        p is trade price
        mp is mid-price = (bid + ask) / 2
  • Step 2: Calculation of average spread across all trades in this stock
    `S_t = (sum_{i=1}^n V_{it} * S_{it}) / V_t`
    of which; St is the average % spread for stock t
        Vit is the money value of the ith trade in stock t
        Sit is the % average spread for the ith trade in stockt
        Vt is the total value of trades in stock t
  • Step 3: Calculation of average spread across the sample of TWSE Taiwan 50 Index on this day
    `S_d = (sum_{t=1}^m V_t * S_t) / V_d`
    of which; Sd is the average spread across the sample of TWSE Taiwan 50 Index on this day
        Vd is the sum trading across the sample of TWSE Taiwan 50 Index on this day
  • Step 4: Calculation of average spread across the sample of TWSE Taiwan 50 Index in this month
    `S = (sum_{d=1}^p V_d * S_d) / V`
    of which; Sis the average spread across the sample of TWSE Taiwan 50 Index in this month
        Vis the sum trading across the sample of TWSE Taiwan 50 Index in this month
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