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Analysis of the Tick Size and the Impact of Varying Dollar Ticks on Market Quality - Evidence from the Sydney Futures Exchange

Tan, Andrew S; Frino, Alex; Jarnecic, Elvis - 2007

This paper investigates the relationship between the minimum price variation and market quality variables for 3 interest rate futures contracts on the Sydney Futures Exchange. Intraday trade and quote data are obtained for the period 4 January 2000 and 1 February 2002, which includes the change...

Persistent link: https://www.econbiz.de/10009457668

The impact of electronic trading on bid-ask spreads : evidence from futures markets in Hong Kong, London, and Sydney

Aitken, Michael J.; Frino, Alex; Hill, Amelia M.; … - In: The journal of futures markets 24 (2004) 7, pp. 675-696

Persistent link: https://www.econbiz.de/10002108815

Differences in the cost of trade execution services on floor-based and electronic futures markets

Bortoli, Luke Gareth; Frino, Alex; Jarnecic, Elvis - In: Journal of financial services research : JFSR 26 (2004) 1, pp. 73-87

Persistent link: https://www.econbiz.de/10002120370

An event time study of the price reaction to large retail trades

Frino, Alex; Jarnecic, Elvis; Lepone, Andrew - In: The quarterly review of economics and finance : journal … 49 (2009) 2, pp. 617-632

Persistent link: https://www.econbiz.de/10003852644

The option value of the limit order book

Frino, Alex; Jarnecic, Elvis; McInish, Thomas H. - In: Advances in quantitative analysis of finance and … 3 (2006), pp. 57-71

Persistent link: https://www.econbiz.de/10003424663

Activity in futures : does underlying market size relate to futures trading volume?

Frino, Alex; Jarnecic, Elvis; Zheng, Hui - In: Review of quantitative finance and accounting 34 (2010) 3, pp. 313-325

Persistent link: https://www.econbiz.de/10003970042

The determinants of the price impact of block trades : further evidence

Frino, Alex; Jarnecic, Elvis; Lepone, Andrew - In: Abacus : a journal of accounting, finance and business … 43 (2007) 1, pp. 94-106

Persistent link: https://www.econbiz.de/10003537526

Local trader profitability in futures markets : liquidity and position taking profits

Frino, Alex; Jarnecic, Elvis; Feletto, Roger - In: The journal of futures markets 30 (2010) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10003962216

The provision of liquidity by high-frequency participants

Jarnecic, Elvis; Snape, Mark - In: The financial review : the official publication of the … 49 (2014) 2, pp. 371-394

Persistent link: https://www.econbiz.de/10010363575

Asymmetric effects of sell-side analyst optimism and broker market share by clientele

Grant, Andrew; Jarnecic, Elvis; Su, Mark - In: Journal of financial markets 24 (2015), pp. 49-65

Persistent link: https://www.econbiz.de/10011477243