We study the Glosten–Milgrom model and estimate the proportion of informed traders or speculators using bid–ask spread and price range. The GM model is generalized in terms of a key parameter \( \theta \)—the probability of making a correct decision by an agent. Informed traders have \( \theta = 1 \), and uninformed traders have \( \theta = 1/2 \) in the GM model. Speculators are defined to be agents with \( 1/2 < \bar{\theta } < 1 \). We show that bid–ask spread can be generated when speculators and uninformed traders are in the market—the presence of informed traders is unnecessary. We estimate the proportion of informed traders or speculators using the spread-to-range ratio as a proxy, which entails a new estimation method. Using three exchange rate data, we obtain the conditional mean of the proportion of informed traders and speculators over a seven-year period. Speculators can achieve probability \( \bar{\theta } > 1/2 \) using simple trading rules within short trading horizons and net of transaction cost.

我们研究了Glosten-Milgrom模型，并使用买卖差价和价格范围估计了知情交易者或投机者的比例。GM模型是根据关键参数\（\ theta \）来概括的，即代理做出正确决定的可能性。GM模型中，知情交易者具有\（\ theta = 1 \），而未知情交易者具有\（\ theta = 1/2 \）。投机者被定义为\（1/2 <\ bar {\ theta} <1 \）。我们证明，当投机者和不知情的交易者进入市场时，可以产生买入/卖出价差-不需要有经验的交易者。我们使用价差范围比率作为代理来估计有经验的交易者或投机者的比例，这需要一种新的估计方法。使用三个汇率数据，我们得出了七年时间内知情交易者和投机者所占比例的条件均值。投机者可以在较短的交易时间范围内并通过扣除交易成本后的简单交易规则来实现概率\（\ bar {\ theta}> 1/2 \）。