Tick Size Regulation and Sub-penny Trading - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Tick Size Regulation and Sub-penny Trading write by . This book was released on 2013. Tick Size Regulation and Sub-penny Trading available in PDF, EPUB and Kindle.
Tick Size Constraints, Market Structure, and Liquidity
Tick Size Constraints, Market Structure, and Liquidity - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Tick Size Constraints, Market Structure, and Liquidity write by Mao Ye. This book was released on 2019. Tick Size Constraints, Market Structure, and Liquidity available in PDF, EPUB and Kindle. 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 price priority. The larger relative tick size for low priced stocks, however, constrain non-HFTers from providing better prices and HFTers' speed advantage helps them establish time priority over non-HFTers. Non-HFTers enter the taker/maker market more frequently than HFTers, because they can bypass tick size constraints by paying a fee to the exchange. The incentive to pay a fee is stronger when relative tick size is high. When stock splits increase relative tick size, liquidity does not improve and volume shifts to the taker/maker market. Our results indicate recent proposals to increase tick size will not improve liquidity. Instead, they will encourage high frequency trading and lead to proliferation of markets that bypass the tick size constraints.
Liquidity, Markets and Trading in Action
Liquidity, Markets and Trading in Action - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Liquidity, Markets and Trading in Action write by Deniz Ozenbas. This book was released on 2022. Liquidity, Markets and Trading in Action available in PDF, EPUB and Kindle. This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Trading and Electronic Markets: What Investment Professionals Need to Know
Trading and Electronic Markets: What Investment Professionals Need to Know - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Trading and Electronic Markets: What Investment Professionals Need to Know write by Larry Harris. This book was released on 2015-10-19. Trading and Electronic Markets: What Investment Professionals Need to Know available in PDF, EPUB and Kindle. The true meaning of investment discipline is to trade only when you rationally expect that you will achieve your desired objective. Accordingly, managers must thoroughly understand why they trade. Because trading is a zero-sum game, good investment discipline also requires that managers understand why their counterparties trade. This book surveys the many reasons why people trade and identifies the implications of the zero-sum game for investment discipline. It also identifies the origins of liquidity and thus of transaction costs, as well as when active investment strategies are profitable. The book then explains how managers must measure and control transaction costs to perform well. Electronic trading systems and electronic trading strategies now dominate trading in exchange markets throughout the world. The book identifies why speed is of such great importance to electronic traders, how they obtain it, and the trading strategies they use to exploit it. Finally, the book analyzes many issues associated with electronic trading that currently concern practitioners and regulators.
Tick Size, Order Handling Rules, and Trading Costs
Tick Size, Order Handling Rules, and Trading Costs - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Tick Size, Order Handling Rules, and Trading Costs write by Kee H. Chung. This book was released on 2009. Tick Size, Order Handling Rules, and Trading Costs available in PDF, EPUB and Kindle. We show that the effect of the tick-size change on NASDAQ spreads depends critically on the Order Handling Rules (OHR). Our empirical results show that the tick-size reduction has no impact on the spread of NASDAQ issues that were not subject to the new OHR, but has a significant effect on the spread of NASDAQ issues that were subject to the OHR. These results indicate that smaller tick sizes are valuable in reducing market friction only if market makers compete on price with public traders. Our results are in line with the finding of prior studies that execution costs are lower in auction markets than in pure dealer markets.
