发帖
雷达卡
英文标题：
《How to predict the consequences of a tick value change? Evidence from
the Tokyo Stock Exchange pilot program》
---
作者：
Weibing Huang, Charles-Albert Lehalle, Mathieu Rosenbaum
---
最新提交年份：
2015
---
英文摘要：
The tick value is a crucial component of market design and is often considered the most suitable tool to mitigate the effects of high frequency trading. The goal of this paper is to demonstrate that the approach introduced in Dayri and Rosenbaum (2015) allows for an ex ante assessment of the consequences of a tick value change on the microstructure of an asset. To that purpose, we analyze the pilot program on tick value modifications started in 2014 by the Tokyo Stock Exchange in light of this methodology. We focus on forecasting the future cost of market and limit orders after a tick value change and show that our predictions are very accurate. Furthermore, for each asset involved in the pilot program, we are able to define (ex ante) an optimal tick value. This enables us to classify the stocks according to the relevance of their tick value, before and after its modification.
---
中文摘要：
tick值是市场设计的重要组成部分，通常被认为是缓解高频交易影响的最合适工具。本文的目的是证明Dayri和Rosenbaum（2015）中引入的方法允许事先评估刻度值变化对资产微观结构的影响。为此，我们根据该方法分析了东京证券交易所于2014年启动的tick值修改试点项目。我们专注于预测未来的市场成本，并在成交价发生变化后限制订单，表明我们的预测非常准确。此外，对于试点项目中涉及的每项资产，我们能够（事先）定义一个最佳刻度值。这使我们能够根据股票的tick值在修改前后的相关性对股票进行分类。
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--
---
PDF下载：
-->
京公网安备 11010802022788号
