Impact of the tick-size on financial returns and correlations     Financialcor relations  Eppseect  Market emergence  Covariance estimation  Tick-size  Market       font style='font-size:12px;'> 2010/4/27

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 it can alter the tail beh...

存档文本 存档附件 原文地址 文献传递