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Tick Size, Market Quality, and Cross-Asset Arbitrage in the Commodity Futures Market

https://doi.org/10.2139/ssrn.4834010
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/fut.10053openalex-extracted
Does tick size influence price discovery? Evidence from the Toronto Stock Exchange
inferredcites →https://doi.org/10.1002/fut.20149openalex-extracted
Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market
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.21734openalex-extracted
The Impact of a Premium‐Based Tick Size on Equity Option Liquidity
inferredcites →https://doi.org/10.1002/fut.22496openalex-extracted
Futures Trading Costs and Market Microstructure Invariance: Identifying Bet Activity
inferredcites →https://doi.org/10.1006/jfin.1999.0266openalex-extracted
Minimum Price Variations, Time Priority, and Quote Dynamics
inferredcites →https://doi.org/10.1016/j.eneco.2012.06.011openalex-extracted
Cross hedging jet-fuel price exposure
inferredcites →https://doi.org/10.1016/j.finmar.2021.100658openalex-extracted
Tick Size Pilot Program and price discovery in U.S. stock markets
inferredcites →https://doi.org/10.1016/j.frl.2018.03.023openalex-extracted
The impact of tick-size reductions in foreign currency futures markets
inferredcites →https://doi.org/10.1016/j.frl.2021.102308openalex-extracted
Profitability and liquidity provision of HFTs during large price shocks: Does relative tick size matter?
inferredcites →https://doi.org/10.1016/j.gfj.2021.100652openalex-extracted
Cross-commodity hedging for illiquid futures: Evidence from China's base metal futures market
inferredcites →https://doi.org/10.1016/j.iimb.2021.02.002openalex-extracted
Cross-hedging aviation fuel price exposures with commodity futures: Evidence from the Indian aviation industry
inferredcites →https://doi.org/10.1016/j.iref.2016.10.002openalex-extracted
Pseudo market-makers, market quality and the minimum tick size
inferredcites →https://doi.org/10.1016/j.irfa.2022.102257openalex-extracted
Do precious metals hedge crude oil volatility jumps?
inferredcites →https://doi.org/10.1016/j.jbankfin.2017.08.015openalex-extracted
Human vs. high-frequency traders, penny jumping, and tick size
inferredcites →https://doi.org/10.1016/j.jfineco.2011.02.006openalex-extracted
Is market fragmentation harming market quality?
inferredcites →https://doi.org/10.1016/j.jfineco.2014.06.005openalex-extracted
Does PIN affect equity prices around the world?
inferredcites →https://doi.org/10.1016/j.jfineco.2019.03.005openalex-extracted
Inverted fee structures, tick size, and market quality
inferredcites →https://doi.org/10.1016/j.jfineco.2019.11.004openalex-extracted
Tick Size, Liquidity for Small and Large Orders, and Price Informativeness: Evidence from the Tick Size Pilot Program
inferredcites →https://doi.org/10.1016/j.pacfin.2020.101428openalex-extracted
Price discovery, order submission, and tick size during preopen period
inferredcites →https://doi.org/10.1016/j.qref.2021.08.005openalex-extracted
Cross hedging with stock index futures
inferredcites →https://doi.org/10.1080/1351847x.2011.620253openalex-extracted
Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures
inferredcites →https://doi.org/10.1093/rapstu/ray009openalex-extracted
Relative Tick Size and the Trading Environment
inferredcites →https://doi.org/10.1093/rfs/11.1.81openalex-extracted
Market Making with Discrete Prices
inferredcites →https://doi.org/10.1093/rfs/4.3.389openalex-extracted
Stock Price Clustering and Discreteness
inferredcites →https://doi.org/10.1093/rof/rfac032openalex-extracted
Tick Size Wars: The Market Quality Effects of Pricing Grid Competition
inferredcites →https://doi.org/10.1111/1540-6261.00493openalex-extracted
Is Information Risk a Determinant of Asset Returns?
inferredcites →https://doi.org/10.1111/fima.12419openalex-extracted
Tick size and price efficiency: Further evidence from the Tick Size Pilot Program
inferredcites →https://doi.org/10.1111/fire.12187openalex-extracted
Increasing the Tick: Examining the Impact of the Tick Size Change on Maker‐Taker and Taker‐Maker Market Models
inferredcites →https://doi.org/10.1111/j.1467-629x.2008.00279.xopenalex-extracted
Impact of a tick size reduction on liquidity: evidence from the Sydney Futures Exchange
inferredcites →https://doi.org/10.1111/j.1468-5957.2006.00622.xopenalex-extracted
Decimal Pricing and Information‐Based Trading: Tick Size and Informational Efficiency of Asset Price
inferredcites →https://doi.org/10.1111/j.1475-6803.1999.tb00728.xopenalex-extracted
LIQUIDITY AND TICK SIZE: DOES DECIMALIZATION MATTER?
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb02683.xopenalex-extracted
Inferring Trade Direction from Intraday Data
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb04074.xopenalex-extracted
Liquidity, Information, and Infrequently Traded Stocks
inferredcites →https://doi.org/10.1287/mnsc.2022.4502openalex-extracted
Tick Size, Trading Strategies and Market Quality
inferredcites →https://doi.org/10.2139/ssrn.4076089openalex-extracted
Order Submission, Information Asymmetry, and Tick Size
inferredcites →https://doi.org/10.2307/2676254openalex-extracted
The Accuracy of Trade Classification Rules: Evidence from Nasdaq
inferredcites →https://doi.org/10.2307/4126731openalex-extracted
Cross-Hedging with Currency Options and Futures
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