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Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/(sici)1096-9934(199606)16:4<353::aid-fut1>3.0.co;2-hopenalex-extracted
Trading costs and the relative rates of price discovery in stock, futures, and option markets
inferredcites →https://doi.org/10.1002/(sici)1096-9934(199909)19:6<619::aid-fut1>3.0.co;2-mopenalex-extracted
Price discovery in the German equity index derivatives markets
inferredcites →https://doi.org/10.1002/(sici)1096-9934(199909)19:6<619::aid-fut1>3.3.co;2-dopenalex-extracted
inferredcites →https://doi.org/10.1002/fut.20319openalex-extracted
Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange
inferredcites →https://doi.org/10.1002/fut.20341openalex-extracted
Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets
inferredcites →https://doi.org/10.1002/fut.20357openalex-extracted
Decimalization, ETFs and futures pricing efficiency
inferredcites →https://doi.org/10.1006/jfin.1997.0213openalex-extracted
The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange
inferredcites →https://doi.org/10.1016/0304-4076(94)90044-2openalex-extracted
Five alternative methods of estimating long-run equilibrium relationships
inferredcites →https://doi.org/10.1016/j.jbankfin.2010.07.022openalex-extracted
Competition, interlisting and market structure in options trading
inferredcites →https://doi.org/10.1016/j.jempfin.2004.04.006openalex-extracted
Index futures arbitrage before and after the introduction of sixteenths on the NYSE
inferredcites →https://doi.org/10.1016/s0304-405x(01)00092-7openalex-extracted
Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks
inferredcites →https://doi.org/10.1016/s1386-4181(02)00028-9openalex-extracted
Measures of contributions to price discovery: a comparison
inferredcites →https://doi.org/10.1016/s1386-4181(98)00012-3openalex-extracted
Order flow composition and trading costs in a dynamic limit order market
inferredcites →https://doi.org/10.1017/s0022109000002696openalex-extracted
Tick Size and Institutional Trading Costs: Evidence from Mutual Funds
inferredcites →https://doi.org/10.1080/07350015.1995.10524576openalex-extracted
Estimation of Common Long-Memory Components in Cointegrated Systems
inferredcites →https://doi.org/10.1093/oso/9780198523963.001.0001openalex-extracted
Applied Smoothing Techniques for Data Analysis
inferredcites →https://doi.org/10.1093/rfs/10.1.103openalex-extracted
Liquidity Provision with Limit Orders and a Strategic Specialist
inferredcites →https://doi.org/10.1093/rfs/11.1.81openalex-extracted
Market Making with Discrete Prices
inferredcites →https://doi.org/10.1093/rfs/14.3.705openalex-extracted
Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-extracted
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1093/rfs/7.1.149openalex-extracted
Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes
inferredcites →https://doi.org/10.1093/rfs/7.4.743openalex-extracted
Insider and Liquidity Trading in Stock and Options Markets
inferredcites →https://doi.org/10.1093/rfs/hhq032openalex-extracted
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices
inferredcites →https://doi.org/10.1111/0022-1082.00083openalex-extracted
Implied Volatility Functions: Empirical Tests
inferredcites →https://doi.org/10.1111/0022-1082.194060openalex-extracted
Option Volume and Stock Prices: Evidence on Where Informed Traders Trade
inferredcites →https://doi.org/10.1111/1540-6261.00537openalex-extracted
Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks
inferredcites →https://doi.org/10.1111/j.0008-4085.2004.00258.xopenalex-extracted
Canadian and U.S. financial markets: testing the international integration hypothesis under time‐varying conditional volatility
inferredcites →https://doi.org/10.1111/j.1475-6803.2004.00078.xopenalex-extracted
Decimals And Liquidity: A Study Of The Nyse
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb04054.xopenalex-extracted
One Security, Many Markets: Determining the Contributions to Price Discovery
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00661.xopenalex-extracted
Informed Trading in Stock and Option Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01665.xopenalex-extracted
Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence
inferredcites →https://doi.org/10.1257/jep.2.3.147openalex-extracted
Variable Trends in Economic Time Series
inferredcites →https://doi.org/10.2139/ssrn.1106962openalex-extracted
Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
inferredcites →https://doi.org/10.2139/ssrn.257750openalex-extracted
Index-Futures Arbitrage Before and after the Introduction of Sixteenths on the NYSE
inferredcites →https://doi.org/10.2202/1558-3708.1683openalex-extracted
On Justifications for the ad hoc Black-Scholes Method of Option Pricing
inferredcites →https://doi.org/10.2307/2331277openalex-extracted
Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets
inferredcites →https://doi.org/10.2307/2938278openalex-extracted
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
inferredcites →https://doi.org/10.2307/4126742openalex-extracted
Trade Execution Costs and Market Quality after Decimalization
inferredcites →https://doi.org/10.1016/j.finmar.2009.09.003openalex-snapshot
A structural analysis of price discovery measures
inferredcites →https://doi.org/10.1016/s0304-405x(00)00087-8openalex-snapshot
Sixteenths: direct evidence on institutional execution costs
inferredcites →https://doi.org/10.1046/j.1540-6261.2003.00617.xopenalex-snapshot
Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex‐Dividend Pricing before and after Decimalization
inferredcites →https://doi.org/10.1093/0198774508.001.0001openalex-snapshot
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb05087.xopenalex-snapshot
Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05218.xopenalex-snapshot
General Properties of Option Prices
inferredcites →https://doi.org/10.2307/3502939openalex-snapshot
Marches derives et trading de volatilite
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inferred← citeshttps://doi.org/10.11648/j.ijsts.20200804.11openalex-snapshot
SWOT Analysis of the Management and Operation of Secondary Education System in Dhaka City of Bangladesh
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