Tick Size, Microstructure Noise, Informed Trading and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

2012 ◽  
Author(s):  
Michal Czerwonko ◽  
Nabil Khoury ◽  
Stylianos Perrakis ◽  
Marko Savor
Keyword(s):  
Empirical Evidence ◽  
Price Discovery ◽  
Informed Trading ◽  
Microstructure Noise ◽  
Tick Size ◽  
Option Markets ◽  
Inversion Effects

scholarly journals Tick Size Reduction and Price Discovery in Option Markets: An Empirical Investigation

2011 ◽  
Author(s):  
Michal Czerwonko ◽  
Nabil Khoury ◽  
Stylianos Perrakis ◽  
Marko Savor
Keyword(s):  
Empirical Investigation ◽  
Price Discovery ◽  
Size Reduction ◽  
Tick Size ◽  
Option Markets

Informed Trading in Option Markets around Accelerated Share Repurchase Announcements

2017 ◽  
Author(s):  
Ladshiya Atisoothanan ◽  
Balasingham Balachandran ◽  
Huu Nhan Duong ◽  
Michael F. Theobald
Keyword(s):  
Informed Trading ◽  
Share Repurchase ◽  
Option Markets ◽  
Repurchase Announcements

Does tick size influence price discovery? Evidence from the Toronto Stock Exchange

2002 ◽  
Vol 23 (1) ◽  
pp. 49-66 ◽  
Author(s):  
Marie-Claude Beaulieu ◽  
Shafiq K. Ebrahim ◽  
Ieuan G. Morgan
Keyword(s):  
Price Discovery ◽  
Stock Exchange ◽  
Tick Size ◽  
Toronto Stock Exchange

Price discovery, order submission, and tick size during preopen period

2020 ◽  
Vol 63 ◽  
pp. 101428
Author(s):  
Xijuan Xiao ◽  
Ryuichi Yamamoto
Keyword(s):  
Price Discovery ◽  
Tick Size
Sign in / Sign up

Export Citation Format

Share Document