Stock exchange operators compete for order flow by setting "make" fees for limit orders and "take" fees for market orders. When traders quote continuous prices, they can choose prices that perfectly neutralize any fee division, and traders stream to the exchange with the lowest total fee. The...

We show that queueing rationing under price controls drives high-frequency trading. A one-cent uniform tick size (minimal price variation) creates rents and generates queues for liquidity provision, particularly for securities with lower prices (larger relative tick sizes). Speed rations the...

Security trading now fragments into more than 10 almost identical stock exchanges in the United States. We show that discrete pricing is one economic force that prevents the consolidation of trading volume. The uniform one-cent tick size (minimum price variation), imposed by the SEC's Rule 612,...

We argue that a one-penny minimum tick size for all stocks priced above $1 (SEC rule 612) encourages high-frequency trading and taker/maker–fee markets. We find that non-high frequency traders (non-HFTers) are 2.62 times more likely than HFTers to provide best prices, thereby establishing...

When price competition is constrained by tick size, speed allocates the resources due to the time priority rule. We demonstrate three implications of competition in speed. 1) We find more high frequency liquidity provision for lower price stocks with high market cap, where the one cent tick size...

Odd-lots are trades for less than 100 shares of stock. These trades are missing from the TAQ data because they are not reported to the consolidated tape. We investigate the systematic bias that arises from the exclusion of odd lots from TAQ data. In our sample, the median number of missing...