Appendix to Fact or Friction: Jumps at Ultra High Frequency
38 Pages Posted: 20 Nov 2012 Last revised: 29 Jan 2013
Date Written: November 1, 2012
This web-appendix provides further results and illustrations as referred to in the main paper.
The paper "Fact or Friction: Jumps at Ultra High Frequency" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=1848774
JEL Classification: C10, C80
Suggested Citation: Suggested Citation