5 citations · 5 across the 2 of their papers we have counts for
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q-fin.TR2012★ 5 cited
Large tick assets: implicit spread and optimal tick size
Khalil Dayri, Mathieu Rosenbaum
In this work, we provide a framework linking microstructural properties of an asset to the tick value of the exchange. In particular, we bring to light a quantity, referred to as i…
q-fin.TR2010
The nature of price returns during periods of high market activity
Khalil al Dayri, Emmanuel Bacry, Jean-Francois Muzy
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evide…