Economics, Econometrics and Finance
4 years ago

Side-specific tick sizes boost liquidity provision on stock exchanges.

SIAM Journal on Financial Mathematics
On Bid and Ask Side-Specific Tick Sizes
Bastien Baldacci, Philippe Bergault, Joffrey Derchu, Mathieu Rosenbaum

Paper Summary

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The tick size, the smallest price increment in trading, is crucial for market structure. By using different tick sizes for buying and selling, exchanges can improve liquidity quality.