Tick size and price diffusion
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is the realm of market microstructure and there is...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2010
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