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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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Tick Sizes in Illiquid Order Books
Meling, Tom - 2016
I assess the impact of increasing the tick size on stock liquidity and trading volume in illiquid stocks. Using a …
Persistent link: https://www.econbiz.de/10012977463
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Tick size change and market quality in the U.S. treasury market
Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - 2019
the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid …
Persistent link: https://www.econbiz.de/10012000042
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Tick size, competition for liquidity provision, and price discovery : evidence from the u.s. treasury market
Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 332-354
Persistent link: https://www.econbiz.de/10014470002
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Liquidity and impact in fair markets
Jaisson, Thibault - In: Market microstructure and liquidity 1 (2015) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10011588225
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Investigating intertrade durations using copulas : an experiment with NASDAQ data
Chakravary, Ranjan R.; Pani, Sudhanshu - In: Algorithmic finance 9 (2022) 3/4, pp. 81-102
Persistent link: https://www.econbiz.de/10013459970
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Tick size, liquidity for small and large orders, and price informativeness : evidence from the Tick Size Pilot Program
Chung, Kee H.; Lee, Albert J.; Rösch, Dominik - In: Journal of financial economics 136 (2020) 3, pp. 879-899
Persistent link: https://www.econbiz.de/10012545740
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U.S. Tick Size Pilot
Rindi, Barbara; Werner, Ingrid M. - 2017 - This Draft: September 22, 2017
show that the larger tick size raised the cost for retail-sized liquidity demanding orders by almost fifty percent, and … raised profits to liquidity providers by forty percent. The bulk of the effects occurred for tick-constrained stocks for …
Persistent link: https://www.econbiz.de/10011968847
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Liquidity measures and cost of trading in an illiquid market
Armitage, Seth; Brzeszczyński, Janusz; Serdyuk, Anna - In: Journal of emerging market finance 13 (2014) 2, pp. 155-196
Persistent link: https://www.econbiz.de/10011378280
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Optimal liquidation and adverse selection in dark pools
Kratz, Peter; Schöneborn, Torsten - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 177-210
Persistent link: https://www.econbiz.de/10011969158