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Tick size reduction and the components of the bid-ask spread on the Taiwan stock exchange
Kuo, Su-Wen, (2017)
Order submission, information asymmetry, and tick size
Zhu, Hongyu, (2022)
Identifying expensive trades by monitoring the limit order book
Detollenaere, Benoit, (2017)
Market risk in commodity markets : a switiching regime approach
Angelidis, Timotheos, (2004)
Liquidity adjusted value-at-risk based on the components of the bid-ask spread
Angelidis, Timotheos, (2006)
A robust VaR model under different time periods and weighting schemes
Angelidis, Timotheos, (2007)