Michal Czerwonko

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

348

CITATIONS

8

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 21 (530,877)

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2.
Downloads 10 (101,351)

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 10 (603,774)

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 (213,090)
Citation 2

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 (325,092)

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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 (343,598)

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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 48 (393,236)

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contingent claims, market microstructure, interlisting, price discovery