Gwilym, Owain Ap; Mcmanus, Ian; Thomas, Stephen - In: Journal of Futures Markets 25 (2005) 5, pp. 419-442
This paper analyses the impact of a move from fractional to decimal pricing in the UK Long Gilt futures market, and thus offers a unique insight to tick size reduction and decimalization in a derivatives market setting. The reduced tick size leads to an increase in price clustering. The...