{"id":"W4256021993","doi":"10.2139/ssrn.1914114","title":"Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence","year":2011,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Market Dynamics and Volatility","field":"Economics, Econometrics and Finance","cited_by":1,"is_retracted":false,"has_abstract":false,"ca_institutions":"Concordia University; Université du Québec à Montréal; McGill University","funders":"","keywords":"Price discovery; Market microstructure; Econometrics; Volatility (finance); Financial economics; Economics; Empirical evidence; Inversion (geology); Finance; Geology; Seismology","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.005038776,0.0003613271,0.0007602188,0.001172333,0.0004254401,0.002739576,0.0008026643,0.00163597,0.005235786],"category_scores_gemma":[0.06714106,0.0006498153,0.0005330594,0.0009419071,0.0017295,0.003435561,0.0009940161,0.001870852,0.0004302689],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0003567932,"about_ca_system_score_gemma":0.0005260349,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001421479,"about_ca_topic_score_gemma":0.001041437,"domain_scores_codex":[0.9989287,0.0003480802,0.0001046652,0.0001794393,0.0003038367,0.0001351758],"domain_scores_gemma":[0.8709169,0.1110866,0.009899944,0.004773946,0.001488359,0.00183413],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.009651493,0.002719596,0.7554378,0.0004492168,0.001073366,0.001057693,0.001241755,0.03155105,0.02585497,0.04261754,0.001164046,0.1271815],"study_design_scores_gemma":[0.0006185035,0.0008069668,0.7762328,0.00004491294,0.000817563,0.0007802482,0.0003847777,0.0934572,0.004784589,0.1212487,0.0006595096,0.0001642498],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9950892,0.0006157164,0.002361519,0.0002169171,0.00001130197,0.000008453683,0.0000419294,0.00002797747,0.001627012],"genre_scores_gemma":[0.9987219,0.0002880506,0.0005315679,0.00003814611,0.00004433728,0.000004142749,0.00005636313,0.00001456669,0.0003010238],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.005235786,"threshold_uncertainty_score":0.02664793,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01773770641271736,"score_gpt":0.2276435170291956,"score_spread":0.2099058106164782,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}