Journal article icon

Journal article

Tick size and price diffusion

Abstract:

A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is the realm of market microstructure and there is a vast literature on the role of tick size on market microstructure. However, tick size can also affect price properties at longer time scales, and relatively less is known about the effect of tic...

Expand abstract

Actions


Authors


More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Journal:
New Economic Windows
Volume:
9
Pages:
173-187
Publication date:
2010-09-13
EISSN:
2039-4128
ISSN:
2039-411X
URN:
uuid:5cd0dbf5-8679-45e5-b2c6-d327dc0e9602
Source identifiers:
387680
Local pid:
pubs:387680
Language:
English
Keywords:

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP