论文标题
出价并询问特定于侧面的壁虱大小
On bid and ask side-specific tick sizes
论文作者
论文摘要
刻度大小是给定资产的两个连续价格之间最小的增量，是市场微观结构的关键参数。特别是，高频做市商的行为与其价值高度相关。我们采取交流的观点，并调查在竞标上有不同tick尺寸并询问订单书的相关性。使用基于不确定性区域的模型的方法，我们表明，当适当选择侧面的壁虱尺寸时，它可以提高流动性提供的质量。
The tick size, which is the smallest increment between two consecutive prices for a given asset, is a key parameter of market microstructure. In particular, the behavior of high frequency market makers is highly related to its value. We take the point of view of an exchange and investigate the relevance of having different tick sizes on the bid and ask sides of the order book. Using an approach based on the model with uncertainty zones, we show that when side-specific tick sizes are suitably chosen, it enables the exchange to improve the quality of liquidity provision.
