Michal Czerwonko

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

341

CITATIONS
Rank 21,865

SSRN RANKINGS

Top 21,865

in Total Papers Citations

13

Scholarly Papers (6)

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

NBER Working Paper No. w16302
Number of pages: 56 Posted: 30 Aug 2010 Last Revised: 24 Jul 2014
University of Chicago - Booth School of Business, McGill University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 18 (541,787)
Citation 13

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2.
Downloads 8 (102,983)

Mispriced Index Option Portfolios

NBER Working Paper No. w23708
Number of pages: 71 Posted: 21 Aug 2017
University of Chicago - Booth School of Business, McGill University and Concordia University, Quebec - John Molson School of Business
Downloads 8 (607,296)

Abstract:

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3.

Tick Size, Microstructure Noise, Informed Trading and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

Number of pages: 57 Posted: 18 Mar 2012
McGill University, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), Concordia University, Quebec - John Molson School of Business and University of Quebec in Montreal
Downloads 134 (210,188)

Abstract:

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contingent claims, market microstructure, volatility inversion, price discovery, tick size

4.

Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

Number of pages: 44 Posted: 22 Aug 2011
McGill University, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), Concordia University, Quebec - John Molson School of Business and University of Quebec in Montreal
Downloads 71 (320,765)

Abstract:

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contingent claims, market microstructure, price discovery

5.

Tick Size Reduction and Price Discovery in Option Markets: An Empirical Investigation

Number of pages: 38 Posted: 28 Feb 2011
McGill University, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), Concordia University, Quebec - John Molson School of Business and University of Quebec in Montreal
Downloads 64 (338,940)

Abstract:

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contingent claim, market microstructure, price discovery

6.

One Security, Four Markets: Canada-US Cross-Listed Options and Underlying Equities

Number of pages: 39 Posted: 30 Nov 2010
McGill University, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), Concordia University, Quebec - John Molson School of Business and University of Quebec in Montreal
Downloads 46 (394,585)

Abstract:

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contingent claims, market microstructure, interlisting, price discovery