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Tick size, the compass rose and market nanostructure

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  • Szpiro, George G.

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  • Szpiro, George G., 1998. "Tick size, the compass rose and market nanostructure," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1559-1569, December.
    • Handle: RePEc:eee:jbfina:v:22:y:1998:i:12:p:1559-1569
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    References listed on IDEAS

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    1. Abhyankar, A & Copeland, L S & Wong, W, 1997. "Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 1-14, January.
    2. Kramer, Walter & Runde, Ralf, 1997. "Chaos and the compass rose," Economics Letters, Elsevier, vol. 54(2), pages 113-118, February.
    3. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-337, July.
    4. Szpiro, George G., 1997. "Noise in unspecified, non-linear time series," Journal of Econometrics, Elsevier, vol. 78(2), pages 229-255, June.
    5. Crack, Timothy Falcon & Ledoit, Olivier, 1996. "Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market," Journal of Finance, American Finance Association, vol. 51(2), pages 751-762, June.
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    Cited by:

    1. Antonios Antoniou & Constantinos E. Vorlow, 2004. "Price Clustering and Discreteness: Is there Chaos behind the Noise?," Papers cond-mat/0407471, arXiv.org.
    2. Wang, Huaiqing & Wang, Chen, 2002. "Visibility of the compass rose in financial asset returns: A quantitative study," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1099-1111, June.
    3. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2011. "An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(4), pages 669-707, June.
    4. La Spada Gabriele & Lillo Fabrizio, 2014. "The effect of round-off error on long memory processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(4), pages 1-38, September.
    5. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2008. "A multivariate integer count hurdle model: theory and application to exchange rate dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 31-48, Springer.
    6. Fang, Yue, 2002. "The compass rose and random walk tests," Computational Statistics & Data Analysis, Elsevier, vol. 39(3), pages 299-310, May.
    7. Antoniou, Antonios & Vorlow, Constantinos E., 2005. "Price clustering and discreteness: is there chaos behind the noise?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 389-403.
    8. Gleason, Kimberly C. & Lee, Chun I. & Mathur, Ike, 2000. "An explanation for the compass rose pattern," Economics Letters, Elsevier, vol. 68(2), pages 127-133, August.
    9. Amilon, Henrik, 2003. "GARCH estimation and discrete stock prices: an application to low-priced Australian stocks," Economics Letters, Elsevier, vol. 81(2), pages 215-222, November.
    10. Wang, Eliza & Hudson, Robert & Keasey, Kevin, 2000. "Tick size and the compass rose: further insights," Economics Letters, Elsevier, vol. 68(2), pages 119-125, August.
    11. Henrik Amilon, 2002. "A Score Test for Discreteness in GARCH Models," Research Paper Series 76, Quantitative Finance Research Centre, University of Technology, Sydney.
    12. Wing Lon Ng, 2006. "Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose," SFB 649 Discussion Papers SFB649DP2006-086, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    13. Mitchell, Heather & McKenzie, Michael D., 2006. "A note on the Wang and Wang measure of the quality of the compass rose," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3519-3524, December.
    14. Chun Lee & Ike Mathur & Kimberly Gleason, 2005. "The tick/volatility ratio as a determinant of the compass rose pattern," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 93-109.

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