Minimum Price Variations, Time Priority, and Quote Dynamics

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Minimum Price Variations, Time Priority, and Quote Dynamics

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Cordella, Tito
Foucault, Thierry

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Publisher Info
Article provided by Elsevier in its journal Journal of Financial Intermediation.

Volume (Year): 8 (1999)
Issue (Month): 3 (July)
Pages: 141-173
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Handle: RePEc:eee:jfinin:v:8:y:1999:i:3:p:141-173

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Paper
- Tito Cordella & Thierry Foucault, 1996. "Minimum Price Variations, Time Priority and Quotes Dynamics," Economics Working Papers 182, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
- Cordella, Tito & Foucault, Thierry, 1997. "Minimum Price Variations, Time Priority and Quote Dynamics," CEPR Discussion Papers 1717, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Degryse, H. & Jong, F. de & Ravenswaaij, M. van & Wuyts, G., 2002. "Aggressive orders and the resiliency of a limit order market," Discussion Paper 80, Tilburg University, Center for Economic Research. [Downloadable!]
Other versions:
- Hans Degryse & Frank Jong & Maarten Ravenswaaij & Gunther Wuyts, 2005. "Aggressive Orders and the Resiliency of a Limit Order Market," Review of Finance, Springer, vol. 9(2), pages 201-242, 06. [Downloadable!] (restricted)
- Hans Degryse & Frank De Jong & Maarten Van Ravenswaaij & Gunther Wuyts, 2005. "Aggressive Orders and the Resiliency of a Limit Order Market," Review of Finance, Oxford University Press for European Finance Association, vol. 9(2), pages 201-242. [Downloadable!] (restricted)
Jeremy Large, 2006. "A Market-Clearing Role for Inefficiency on a Limit Order Book," Economics Papers 2006-W08, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
Other versions:
- Large, Jeremy, 2009. "A market-clearing role for inefficiency on a limit order book," Journal of Financial Economics, Elsevier, vol. 91(1), pages 102-117, January. [Downloadable!] (restricted)
Pavabutra, Pantisa & Prangwattananon, Sukanya, 2008. "Tick Size Change on the Stock Exchange of Thailand," CEI Working Paper Series 2008-9, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
Marianne Demarchi & Thierry Foucault, 2000. "Equity Trading Systems in Europe: A Survey of Recent Changes," Annales d'Economie et de Statistique, ADRES, issue 60, pages 05, Octobre-D. [Downloadable!]
Other versions:
- FOUCAULT, Thierry & DEMARCHI, Marianne, 1998. "Equity Trading Systems in Europe - A survey of recent changes," Les Cahiers de Recherche 663, HEC Paris. [Downloadable!]
LOVO, Stefano M. & CALCAGNO, R., 2001. "Market efficiency and Price Formation when Dealers are Asymmetrically Informed," Les Cahiers de Recherche 737, HEC Paris. [Downloadable!]
Other versions:
- Calcagno, R. & Lovo, S.M., 2002. "Market efficiency and price formation when dealers are asymmetrically informed," Discussion Paper 42, Tilburg University, Center for Economic Research. [Downloadable!]
Michael A. Goldstein & Kenneth A. Kavajecz, . "Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE," Rodney L. White Center for Financial Research Working Papers 14-98, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
Other versions:
- Goldstein, Michael A. & A. Kavajecz, Kenneth, 2000. "Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE," Journal of Financial Economics, Elsevier, vol. 56(1), pages 125-149, April. [Downloadable!] (restricted)
Joel Hasbrouck, 1998. "Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-042, New York University, Leonard N. Stern School of Business-. [Downloadable!]
Pantisa Pavabutr & Sukanya Prangwattananon, 2009. "Tick size change on the Stock Exchange of Thailand," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 351-371, May. [Downloadable!] (restricted)

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