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Tick size and the returns to providing liquidity

✍ Scribed by Greg MacKinnon; Howard Nemiroff


Book ID
113664074
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
142 KB
Volume
13
Category
Article
ISSN
1059-0560

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Impact of the tick-size on financial ret
✍ Michael C. MΓΌnnix; Rudi SchΓ€fer; Thomas Guhr πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 845 KB

We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as possibly altering the tail behavior. On small return intervals, the tick-size can distort the calculation of correlations. Th