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Applied Economics Letters Volume 10, 2003 - Issue 8
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Original Articles

Trading frequency and the compass rose

Charlie Cai International Institute of Banking and Financial Services, The University of Leeds, Leeds, LS2 9JT, UK
,
Robert Hudson International Institute of Banking and Financial Services, The University of Leeds, Leeds, LS2 9JT, UK
&
Kevin Keasey International Institute of Banking and Financial Services, The University of Leeds, Leeds, LS2 9JT, UK
Pages 511-517 | Published online: 06 Oct 2010

References

  • Crack , T. F. and Ledoit , O. 1996 . Robust structure without predictability: the ‘compass rose’ pattern of the stock market . The Journal of Finance , LI ( 2 ) : 751 – 762 .
  • Szpiro , G. C. 1998 . Tick size, the compass rose and market nanostructure . Journal of Banking and Finance , 22 : 1559 – 1569 .
  • Wang , H. and Wang , C. 2002 . Visibility of the compass rose in financial asset returns: a quantitative study . Journal of Banking and Finance , 26 : 1099 – 1111 .
  • Wang , E. , Hudson , R. and Keasey , K. 2000 . Tick size and the compass rose: further insights . Economics Letters , 68 : 119 – 125 .

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