The market microstructure of stock futures and equity options
This thesis investigates aspects of the market microstructure of single stock futures (SSF) and equity options. The first empirical chapter studies the intraday patterns of time-weighted bid-ask spreads, volatility, and the number of quotes. For SSF contracts traded in London and Lisbon, the chapter...
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Bangor University
2017
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.738039 |