Extreme price clustering in the London equity index futures and options markets

Journal of Banking and Finance

Volumn 22, Issue 9, 1998, Pages 1193-1206

  Ap Gwilym, Owain ^a   Clare, Andrew ^b   Thomas, Stephen ^a  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^b UNIVERSITY OF READING   (United Kingdom)

Author keywords

Bid ask spreads; Clustering; G12; Intraday data; NASDAQ; Tick size

Indexed keywords

EID: 0000960928     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(98)00054-5     Document Type: Article

References (9)

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