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U.S. Tick Size Pilot
Rindi, Barbara; Werner, Ingrid M. - 2017 - This Draft: September 22, 2017
show that the larger tick size raised the cost for retail-sized liquidity demanding orders by almost fifty percent, and … raised profits to liquidity providers by forty percent. The bulk of the effects occurred for tick-constrained stocks for …
Persistent link: https://www.econbiz.de/10011968847
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Tick size, competition for liquidity provision, and price discovery : evidence from the u.s. treasury market
Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 332-354
Persistent link: https://www.econbiz.de/10014470002
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Investigating intertrade durations using copulas : an experiment with NASDAQ data
Chakravary, Ranjan R.; Pani, Sudhanshu - In: Algorithmic finance 9 (2022) 3/4, pp. 81-102
Persistent link: https://www.econbiz.de/10013459970
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Bid- and ask-side liquidity in the NYSE limit order book
Cenesizoglu, Tolga; Grass, Gunnar - In: Journal of financial markets 38 (2018), pp. 14-38
Persistent link: https://www.econbiz.de/10012001137
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Stock repurchases and liquidity
Hillert, Alexander; Maug, Ernst; Obernberger, Stefan - In: Journal of financial economics 119 (2016) 1, pp. 186-209
Persistent link: https://www.econbiz.de/10011589751
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Price dynamics and market liquidity : an intraday event study on Euronext
Mazza, Paolo - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 139-153
Persistent link: https://www.econbiz.de/10011574367
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Tick size change and market quality in the U.S. treasury market
Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - 2019
the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid …
Persistent link: https://www.econbiz.de/10012000042
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One size fits all? : high frequency trading, tick size changes and the implications for exchanges : market quality and market structure considerations
Verousis, Thanos; Perotti, Pietro; Sermpinis, Georgios - In: Review of quantitative finance and accounting 50 (2018) 2, pp. 353-392
Persistent link: https://www.econbiz.de/10011979139
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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Tick Sizes in Illiquid Order Books
Meling, Tom - 2016
I assess the impact of increasing the tick size on stock liquidity and trading volume in illiquid stocks. Using a …
Persistent link: https://www.econbiz.de/10012977463