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Structural changes, bid-ask spread composition and tick size in inter-bank futures trading
McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: The European journal of finance 17 (2011) 3/4, pp. 285-306
Persistent link: https://www.econbiz.de/10009155402
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Hedging costs, liquidity, and inventory management : the evidence from option market makers
Wu, Wei-shao; Liu, Yu-jane; Lee, Yi-tsung; Fok, Robert C. W. - In: Journal of financial markets 18 (2014), pp. 25-48
Persistent link: https://www.econbiz.de/10010442502
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Tick size, trading strategies, and market quality
Werner, Ingrid M.; Rindi, Barbara; Buti, Sabrina; Wen, … - In: Management science : journal of the Institute for … 69 (2023) 7, pp. 3818-3837
Persistent link: https://www.econbiz.de/10014338286
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Discovering and disentangling effects of US macro-announcements in European stock markets
Rühl, Tobias R.; Stein, Michael - 2014
In this study, we analyze the effect of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. We find that certain announcements are generally more important to the European stock market than others, and that the direction of news is...
Persistent link: https://www.econbiz.de/10010399276
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Comprehensive market microstructure model : considering the inventory holding costs
Ryu, Doojin - In: Journal of business economics and management 18 (2017) 2, pp. 183-201
Persistent link: https://www.econbiz.de/10011721742
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The effect of limit order book information on investors with different risk attitudes
Wang, Ya-hui; Lai, Chien-Chih - In: The international journal of business and finance … 9 (2015) 1, pp. 113-120
Persistent link: https://www.econbiz.de/10010515350
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One size fits all? : high frequency trading, tick size changes and the implications for exchanges : market quality and market structure considerations
Verousis, Thanos; Perotti, Pietro; Sermpinis, Georgios - In: Review of quantitative finance and accounting 50 (2018) 2, pp. 353-392
Persistent link: https://www.econbiz.de/10011979139
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Limit order submission risks, order choice, and tick size
Yamamoto, Ryuichi - In: Pacific-Basin finance journal 59 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012231313
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Eighths, sixteenths, and market depth : changes in tick size and liquidity provision on the NYSE
Goldstein, Michael A.; Kavajecz, Kenneth A. - In: Journal of financial economics 56 (2000) 1, pp. 125-149
Persistent link: https://www.econbiz.de/10001468753
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Impact of the change in Tick size on transaction costs and liquidity : an empirical investigation of the Taiwan Stock Exchange
Kuo, Su-wen; Huang, Chin-sheng; Chen, Chia-cheng - In: Asia-Pacific journal of financial studies 39 (2010) 4, pp. 524-551
Persistent link: https://www.econbiz.de/10009231515