Large tick assets : implicit spread and optimal tick size
Khalil Dayri, Mathieu Rosenbaum
| Year of publication: |
June 2015
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|---|---|
| Authors: | Dayri, Khalil ; Rosenbaum, Mathieu |
| Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 1.2015, 1, p. 1-29
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| Subject: | Microstructure of financial markets | statistics of high frequency data | highfrequency volatility estimation | large tick assets | implicit spread | market making | limit orders | market orders | optimal tick size | Finanzmarkt | Financial market | Volatilität | Volatility | Geld-Brief-Spanne | Bid-ask spread | Wertpapierhandel | Securities trading | Finanzmarktregulierung | Financial market regulation | Theorie | Theory | Marktmikrostruktur | Market microstructure | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2382626615500033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011588190