This paper explores the statistical and economical significance of intra-day and -week patterns in bid-ask spreads. We investigate a large panel of high frequency data for stocks traded on the XETRA trading platform and observe significant patterns in spreads. In addition to showing the robustness of our findings over time, as well as in cross-section, we are also able to demonstrate the patterns’ predictability in an out-of-sample approach. Our findings have clear implications, especially for uninformed but discretionary liquidity traders, which allow significant and economically relevant reductions of transaction costs.

中文翻译：

---

Xetra上自由流通量交易商的买卖价差模式和最佳时机

本文探讨了买卖价差中日内和周内形态的统计和经济意义。我们调查了在XETRA交易平台上交易的股票的大量高频数据，并观察了价差的显着模式。除了显示我们的调查结果随时间推移以及横截面的稳健性之外，我们还能够通过样本外方法证明模式的可预测性。我们的发现具有明确的含义，尤其是对于不知情但具有酌处权的流动性交易者而言，可以显着降低与经济相关的交易成本。