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Extreme price clustering in the London equity index futures and options markets

Ap Gwilym, Owain - In: Journal of banking & finance 22 (1998) 9, pp. 1193-1206

Persistent link: https://www.econbiz.de/10001249317

Price clustering in individual equity options : moneyness, maturity, and price level

Ap Gwilym, Owain; Verousis, Thanos - In: The journal of futures markets 33 (2013) 1, pp. 55-76

Persistent link: https://www.econbiz.de/10009702334

The impact of a premium based tick size on equity option liquidity

Verousis, Thanos; Ap Gwilym, Owain; Voukelatos, Nikolaos - 2014

Persistent link: https://www.econbiz.de/10010469307

The intraday determination of liquidity in the NYSE LIFFE equity option markets

Verousis, Thanos; Ap Gwilym, Owain; Chen, XiaoHua - In: The European journal of finance 22 (2016) 10/12, pp. 1164-1188

Persistent link: https://www.econbiz.de/10011715335

Commonality in equity options liquidity : evidence from European markets

Verousis, Thanos; Ap Gwilym, Owain; Voukelatos, Nikolaos - In: The European journal of finance 22 (2016) 10/12, pp. 1204-1223

Persistent link: https://www.econbiz.de/10011715347

The impact of a premium-based tick size on equity option liquidity

Verousis, Thanos; Ap Gwilym, Owain; Voukelatos, Nikolaos - In: The journal of futures markets 36 (2016) 4, pp. 397-417

Persistent link: https://www.econbiz.de/10011568431

Commonality in liquidity across options and stock futures markets

Benzennou, Bouchra; Ap Gwilym, Owain; Williams, Gwion - In: Finance research letters 32 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012430742

The Microstructure of Individual Equity Options : Firm-Level and Common Effects on Liquidity

Verousis, Thanos - 2013

This study utilises an extensive dataset from three European exchanges, namely NYSE LIFFE Amsterdam, London and Paris, to study cross-sectional commonality in liquidity for individual equity options. We document that individual option liquidity is strongly associated with the underlying market...

Persistent link: https://www.econbiz.de/10013081370