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Tick size and stock returns

Abstract:

Tick size is an important aspect of the micro-structural level organization of financial markets. It is the smallest institutionally allowed price increment, has a direct bearing on the bid–ask spread, influences the strategy of trading order placement in electronic markets, affects the price formation mechanism, and appears to be related to the long-term memory of volatility clustering. In this paper we investigate the impact of tick size on stock returns.Westart with a simple simulation to ...

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Jukka-Pekka Onnela More by this author
Publication date:
2009
URN:
uuid:13db2bee-37a2-4ef8-bfab-e94e2701c55e
Local pid:
oai:eureka.sbs.ox.ac.uk:242

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