Original paper
Making Cents of Tick Sizes
Abstract
Using limit order data provided by the NASDAQ and the recent SEC tick size pilot program, we examine how an increase in the minimum price variation affects market liquidity in small-cap securities. While both quoted spreads and depth increase with a change in the mandated tick size from one-cent to five-cents, cumulative depth and trading volume significantly decline. However, we find that the cost to trade relatively large quantities declines...
Paper Details
Title
Making Cents of Tick Sizes
Published Date
Jan 1, 2017
Journal
Citation AnalysisPro
You’ll need to upgrade your plan to Pro
Looking to understand the true influence of a researcher’s work across journals & affiliations?
- Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
- Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.
Notes
History