Impact of the tick-size on financial returns and correlations

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 21, 2010, Pages 4828-4843

  Münnix, Michael C ^a   Schfer, Rudi ^a   Guhr, Thomas ^a  

^a UNIVERSITY OF DUISBURG ESSEN   (Germany)

Author keywords

Covariance estimation; Epps effect; Financial correlations; Market emergence; Market microstructure; Tick size

Indexed keywords

COMMERCE; MICROSTRUCTURE;

COVARIANCE ESTIMATION; EPPS EFFECT; FINANCIAL CORRELATIONS; MARKET MICROSTRUCTURES; TICK-SIZE;

FINANCE;

EID: 77956174542     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.06.037     Document Type: Article

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