Contracts Versus Price Discrimination: Evidence From the SONJ Case

Fractional versus decimal pricing: Evide

Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market

✍ Owain Ap Gwilym; Ian Mcmanus; Stephen Thomas 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 130 KB

This paper analyses the impact of a move from fractional to decimal pricing in the UK Long Gilt futures market, and thus offers a unique insight to tick size reduction and decimalization in a derivatives market setting. The reduced tick size leads to an increase in price clustering. The bid-ask spre