Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity

Griffith Todd G.; Roseman Brian S.

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Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity

机译：赚取点数大小的收益：2016年美国SEC的点数大小试点对限价订单簿流动性的影响

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摘要

We use the 2016 U.S. SEC tick size pilot to examine the effects of an increase in the minimum price variation on limit order book liquidity in NASDAQ-listed stocks on the NASDAQ exchange. For treatment stocks with an average pre-pilot quoted spread less than $0.05, the tick size increase is binding and leads to a significant decrease in liquidity in the limit order book. Specifically, the implied cost to trade at and away from the best bid and offer prices increases and the limit order book becomes less resilient-the amount of time required for a deviation in liquidity to return to its long-run mean. For treatment stocks with an average pre-pilot quoted spread of at least $0.05, the tick size increase is non-binding and leads to either a slight decrease, or no change in limit order book liquidity. (C) 2019 Elsevier B.V. All rights reserved.

机译：我们使用2016年美国证券交易委员会（SEC）的刻度大小试点来研究最小价格变化的增加对纳斯达克交易所在纳斯达克上市的股票的极限订单簿流动性的影响。对于平均试点前报价价差小于$ 0.05的处理类股票而言，报价尺寸的增加具有约束力，并导致限价订单簿中的流动性显着下降。具体来说，隐含的最佳交易价格和最佳价格的交易成本增加了，而限价订单的弹性降低了-流动性偏离回到其长期均值所需的时间。对于平均试点前报价价差至少为$ 0.05的处理类股票而言，报价波动幅度没有约束力，导致限价单流动性略有下降或没有变化。（C）2019 Elsevier B.V.保留所有权利。

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来源
《Journal of banking & finance》 |2019年第4期|104-121|共18页
作者
Griffith Todd G.; Roseman Brian S.;
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作者单位

Utah State Univ, Jon M Huntsman Sch Business, Logan, UT 84322 USA;

Calif State Univ Fullerton, Mihaylo Coll Business & Econ, Fullerton, CA 92634 USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
SEC tick size pilot; Limit order book; Resilience; Round-trip trade;

机译：SEC报价量飞行员;限量订单;弹性;往返交易;

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专利

1. Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity [J] . Griffith Todd G., Roseman Brian S. Journal of banking & finance . 2019,第Apra期

机译：制作蜱尺寸的美分：2016年美国仲裁码尺寸试点对限制令书籍流动性的影响
2. Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program [J] . Chung Kee H., Lee Albert J., Rosch Dominik Journal of financial economics . 2020,第3期

机译：蜱型大小，小型和大订单的流动性，以及价格信息性：来自滴答规模试点计划的证据
3. The effects of a tick-size reduction on the liquidity in a pure limit order market: evidence from Hong Kong [J] . Wanbin Pana Frank M. Songb Libin Taoc* Applied Economics Letters . 2012,第16期

机译：跳动幅度减小对纯限价订单市场流动性的影响：香港的证据
4. Impact of Tick Size Reduction on Liquidity Index in Tokyo Stock Exchange [C] . Hiroyuki Maruyama, Tomoaki Tabata, Takaaki Hosoda International Congress on Advanced Applied Informatics . 2020

机译：蜱尺寸减少对东京证券交易所流动性指数的影响
5. The impact on transaction costs of changes in relative tick size. [D] . Wu, Yu. 2008

机译：相对价格变动幅度对交易成本的影响。
6. The generalist tick Ixodes ricinus and the specialist tick Ixodes trianguliceps on shrews and rodents in a northern forest ecosystem– a role of body size even among small hosts [O] . Atle Mysterud, Ragna Byrkjeland, Lars Qviller, 2015

机译：北方森林生态系统中的sh和啮齿动物的全科壁虱（Ixodes ricinus）和专科壁虱（Ixodes trianguliceps）–即使在小型宿主中体型的作用
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity

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