Tick size and stock returns

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 4, 2009, Pages 441-454

  Onnela, Jukka Pekka ^a,b,c   Töyli, Juuso ^a,d,e   Kaski, Kimmo ^a  

^a AALTO UNIVERSITY   (Finland)

^b UNIVERSITY OF OXFORD   (United Kingdom)

^c UNIVERSITY OF OXFORD   (United Kingdom)

^d UNIVERSITY OF TURKU   (Finland)

^e HELSINKI SCHOOL OF ECONOMICS   (Finland)

Author keywords

Decimalization; Price clustering; Return distribution; Tick size

Indexed keywords

COMMERCE; INVESTMENTS;

DECIMALIZATION; DISTRIBUTION MODELS; EMPIRICAL FINDINGS; EXPERIMENTAL SET UP; PRICE CLUSTERING; RETURN DISTRIBUTION; TICK SIZE; VOLATILITY CLUSTERING;

FINANCIAL MARKETS;

EID: 57349138268     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.10.014     Document Type: Article

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