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What Makes a Critic Tick? Connected Authors and the Determinants of Book Reviews
Books Quality Experience and Expertise Relationships Publishing Industry
2015/4/27
This paper investigates the determinants of expert reviews in the book industry. Reviews are determined not only by the quality of the product, but also by the incentives of the media outlet providing...
Large tick assets: implicit spread and optimal tick size
Microstructure of nancial markets high frequency data large tick assets implicit spread market making limit orders market orders optimal tick size.
2012/9/14
In this work, we bring to light a quantity, referred to as implicit spread, playing the role of spread for large tick assets, for which the e ective spread is almost always equal to one tick. The rele...
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit o...
Impact of the tick-size on financial returns and correlations
Financial correlations Epps e ect Market emergence Covariance estimation
2010/10/18
We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as it can alter the tail beh...