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Large tick assets: implicit spread and optimal tick size

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https://hal.archives-ouvertes.fr/hal-01263181
Contributor : Serena Benassù <>
Submitted on : Wednesday, January 27, 2016 - 2:50:03 PM
Last modification on : Friday, March 27, 2020 - 3:06:12 AM

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  • HAL Id : hal-01263181, version 1
  • ARXIV : 1207.6325

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K. Dayri, M. Rosenbaum. Large tick assets: implicit spread and optimal tick size . Market microstructure and liquidity, World scientific publishing company, 2015, 1 (1), 29 p. 1550003. ⟨hal-01263181⟩

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