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Tick Size Wars: The Market Quality Effects of Pricing Grid Competition
16 references·1 citing·44 second hop
Tick Size Wars: The Market Quality Effects of Pricing Grid Competition (2022)Tick Size Wars: The Market Quality Effect…Trading Fast and Slow: Colocation and Liquidity (2015)Trading Fast and Slow: Coloca…High-Frequency Trading around Large Institutional Orders (2015)High-Frequency Trading around…The Diversity of High Frequency Traders (2012)The Diversity of High Frequen…Liquidity Cycles and Make/Take Fees in Electronic Markets (2012)Liquidity Cycles and Make/Tak…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…Stock Market Liquidity and the Business Cycle (2011)Stock Market Liquidity and th…Recent trends in trading activity and market quality (2011)Recent trends in trading acti…Equity Trading in the 21st Century (2011)Equity Trading in the 21st Ce…Liquidity and Market Efficiency (2007)Liquidity and Market Efficien…Competition for Order Flow and Smart Order Routing Systems (2006)Competition for Order Flow an…Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …Evidence on the speed of convergence to market efficiency (2005)Evidence on the speed of conv…Equilibrium in a Dynamic Limit Order Market (2005)Equilibrium in a Dynamic Limi…Trade Execution Costs and Market Quality after Decimalization (2003)Trade Execution Costs and Mar…Trading Volume and Asset Liquidity (1989)Trading Volume and Asset Liqu…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…When Bigger is Better: The Impact of a Tiny Tick Size on Undercutting Behavior (2022)When Bigger is Better: The Im…On estimating the expected return on the market (1980)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market Liquidity and Funding Liquidity (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)High frequency market microstructure (2015)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Mean reversion in stock prices (1988)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? (2014)The Cost of Transacting (1968)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)A Dynamic Model of the Limit Order Book (2009)Optimal trading strategy and supply/demand dynamics (2012)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cross-Section of Expected Stock Returns (1992)Stock market liquidity and firm value☆ (2009)Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators * (1987)Liquidity and Market Structure (1988)Does Algorithmic Trading Improve Liquidity? (2011)Very fast money: High-frequency trading on the NASDAQ (2013)News Trading and Speed (2015)Algorithmic Trading and Market Quality: International Evidence (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions (2012)Multimarket Trading and Market Liquidity (1991)The Survival of Noise Traders in Financial Markets (1991)Is market fragmentation harming market quality? (2011)Informed traders and limit order markets (2009)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)Do Dark Pools Harm Price Discovery? (2013)Offering versus Choice in 401(k) Plans: Equity Exposure and Number of Funds (2006)Small Trades and the Cross-Section of Stock Returns (2008)
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References

  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 2007Liquidity and Market Efficiency984 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 1989Trading Volume and Asset Liquidity628 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 2003Trade Execution Costs and Market Quality after Decimalization512 cited
  • 2011Recent trends in trading activity and market quality473 cited
  • 2005Evidence on the speed of convergence to market efficiency456 cited
  • 2005Equilibrium in a Dynamic Limit Order Market439 cited
  • 2012The Diversity of High Frequency Traders425 cited
  • 2011Stock Market Liquidity and the Business Cycle420 cited
  • 2006Competition for Order Flow and Smart Order Routing Systems332 cited
  • 2011Equity Trading in the 21st Century294 cited
  • 2015High-Frequency Trading around Large Institutional Orders252 cited
  • 2015Trading Fast and Slow: Colocation and Liquidity248 cited
  • 2012Liquidity Cycles and Make/Take Fees in Electronic Markets

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  • 2022When Bigger is Better: The Impact of a Tiny Tick Size on Undercutting Behavior31 cited