Research Seminars @ Illinois

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Tailored for undergraduate researchers, this calendar is a curated list of research seminars at the University of Illinois. Explore the diverse world of research and expand your knowledge through engaging sessions designed to inspire and enlighten.

To have your events added or removed from this calendar, please contact OUR at ugresearch@illinois.edu

Speaker Richie R Ma - Tick size and price discovery: Futures-options evidence

Event Type: Seminar/Symposium
Sponsor: FACS (Food, Agriculture & Commodities Seminar)
Location: 426 Mumford Hall
Date: Nov 6, 2024 12:00 - 1:00 pm
Speaker: Richie R Ma, UIUC PhD Student, Dept ACE
Views: 5
Originating Calendar: ACE Seminars; Abstract
The tick size, representing the minimum price increment in a financial market, may influence pricing efficiency. We examine the role of the tick size in price discovery between futures and options in the Chicago Mercantile Exchange corn and soybean markets. Futures markets have a tick size twice as large as that of options and typically exhibit one-tick quoted spreads due to their constrained tick sizes. We find that despite thin and costly trading, options are as informative as futures. Price-improving quotes offered by options traders enhance information impounded into prices, suggesting that an unconstrained tick size may enhance price discovery.

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