Onnela, Jukka-Pekka; Töyli, Juuso; Kaski, Kimmo - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 4, pp. 441-454
Tick size is an important aspect of the micro-structural level organization of financial markets. It is the smallest institutionally allowed price increment, has a direct bearing on the bid–ask spread, influences the strategy of trading order placement in electronic markets, affects the price...