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Hybrid markets, tick size and investor trading costs

  • Portniaguina, Evgenia
  • Bernhardt, Dan
  • Hughson, Eric

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File URL: http://www.sciencedirect.com/science/article/B6VHN-4JX38XX-1/2/415db3bb496a7c5f4e6c118d6f399e96
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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 9 (2006)
Issue (Month): 4 (November)
Pages: 433-447

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Handle: RePEc:eee:finmar:v:9:y:2006:i:4:p:433-447
Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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  1. 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.
  2. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  3. Parlour, Christine A, 1998. "Price Dynamics in Limit Order Markets," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 789-816.
  4. Jones, Charles M. & Lipson, Marc L., 2001. "Sixteenths: direct evidence on institutional execution costs," Journal of Financial Economics, Elsevier, vol. 59(2), pages 253-278, February.
  5. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 103-50.
  6. Foucault, Thierry & Kadan, Ohad & Kandel, Eugene, 2001. "Limit Order Book as a Market for Liquidity," CEPR Discussion Papers 2889, C.E.P.R. Discussion Papers.
  7. Bessembinder, Hendrik, 2003. "Trade Execution Costs and Market Quality after Decimalization," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(04), pages 747-777, December.
  8. Ronen, Tavy & Weaver, Daniel G., 2001. "'Teenies' anyone?," Journal of Financial Markets, Elsevier, vol. 4(3), pages 231-260, June.
  9. Christine A. Parlour & Duane J. Seppi, 2003. "Liquidity-Based Competition for Order Flow," Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 301-343.
  10. Bacidore, Jeffrey & Battalio, Robert H. & Jennings, Robert H., 2003. "Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange," Journal of Financial Markets, Elsevier, vol. 6(3), pages 337-362, May.
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