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When Bigger is Better: The Impact of a Tiny Tick Size on Undercutting Behavior
16 references·0 citing·44 second hop
When Bigger is Better: The Impact of a Tiny Tick Size on Undercutting Behavior (2022)When Bigger is Better: The Impact of a Ti…Tick Size, Liquidity for Small and Large Orders, and Price Informativeness: Evidence from the Tick Size Pilot Program (2018)Tick Size, Liquidity for Smal…How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets (2018)How investible is Bitcoin? An…Should we be afraid of the dark? Dark trading and market quality (2016)Should we be afraid of the da…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE (2000)Eighths, sixteenths, and mark…Tick Size, Share Prices, and Stock Splits (1997)Tick Size, Share Prices, and …The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange (1997)The Impact of Decimalization …Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Does a Large Minimum Price Variation Encourage Order Exposure (1996)Does a Large Minimum Price Va…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Minimum Price Variations, Dis…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…Stock Price Clustering and Discreteness (1991)Stock Price Clustering and Di…Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…A Non-cooperative Equilibrium for Supergames (1971)Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Presidential Address: Friction (2000)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Asset pricing and the bid-ask spread (1986)Trade Execution Costs and Market Quality after Decimalization (2003)The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Turbulent cascades in foreign exchange markets (1996)High frequency data in financial markets: Issues and applications (1997)A test for volatility spillover with application to exchange rates (2001)Liquidity and Market Structure (1988)Trading and Exchanges: Market Microstructure for Practitioners (2002)The Determinants of Underpricing for Seasoned Equity Offers (2003)Realized Volatility: A Review (2008)A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)The Inefficiency of Bitcoin (2016)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Price, trade size, and information in securities markets (1987)Estimating the components of the bid/ask spread (1988)Corporate Governance and Liquidity (2010)The Cost of Transacting (1968)Stock returns and the weekend effect (1980)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Order flow composition and trading costs in a dynamic limit order market (1999)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Sixteenths: direct evidence on institutional execution costs (2001)Equilibrium in a Dynamic Limit Order Market (2005)The Diversity of High Frequency Traders (2012)A Dynamic Model of the Limit Order Book (2009)Optimal trading strategy and supply/demand dynamics (2012)High frequency market microstructure (2015)
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References

  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
  • 1991Stock Price Clustering and Discreteness576 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 2000Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE444 cited
  • 1997Tick Size, Share Prices, and Stock Splits387 cited
  • 2018How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets232 cited
  • 1997The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange221 cited
  • 2018Tick Size, Liquidity for Small and Large Orders, and Price Informativeness: Evidence from the Tick Size Pilot Program145 cited

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  • 2016Should we be afraid of the dark? Dark trading and market quality133 cited
  • 1996Does a Large Minimum Price Variation Encourage Order Exposure126 cited
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