Work

Tick Size, Microstructure Noise, Informed Trading and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

Year: 2012

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.2025035

Authors: Michal Czerwonko, Nabil Khoury, Stylianos Perrakis, Marko Savor

Institutions: McGill University, Université du Québec à Montréal, Concordia University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2246440487

Cites: 63

Cited by: 5

Related to: 10