Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

2011 ◽  
Author(s):  
Michal Czerwonko ◽  
Nabil Khoury ◽  
Stylianos Perrakis ◽  
Marko Savor
Keyword(s):  
Empirical Evidence ◽  
Price Discovery ◽  
Microstructure Noise ◽  
Tick Size ◽  
Option Markets ◽  
Inversion Effects

scholarly journals Tick Size Reduction and Price Discovery in Option Markets: An Empirical Investigation

2011 ◽  
Author(s):  
Michal Czerwonko ◽  
Nabil Khoury ◽  
Stylianos Perrakis ◽  
Marko Savor
Keyword(s):  
Empirical Investigation ◽  
Price Discovery ◽  
Size Reduction ◽  
Tick Size ◽  
Option Markets

Does tick size influence price discovery? Evidence from the Toronto Stock Exchange

2002 ◽  
Vol 23 (1) ◽  
pp. 49-66 ◽  
Author(s):  
Marie-Claude Beaulieu ◽  
Shafiq K. Ebrahim ◽  
Ieuan G. Morgan
Keyword(s):  
Price Discovery ◽  
Stock Exchange ◽  
Tick Size ◽  
Toronto Stock Exchange

Price discovery, order submission, and tick size during preopen period

2020 ◽  
Vol 63 ◽  
pp. 101428
Author(s):  
Xijuan Xiao ◽  
Ryuichi Yamamoto
Keyword(s):  
Price Discovery ◽  
Tick Size
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