Price discreteness and clustering in ultra high frequency equity and options data
There is only sparse evidence on the implications of price discreteness in empirical studies using high frequency data. This thesis deals with the issue of discreteness in irregularly spaced data, and its theme is the investigation of two important aspects of discreteness. In particular, the compass...
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Aberystwyth University
2009
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.767365 |