Tick Size and Market Quality Using an Agent-Based Multiple-Order-Book Model
This study investigated the dynamics between tick size and market quality using an agent-based multiple-order-book stock-market model. Given the multiple-order-book setting, we integrated the model with small-, medium-, and large-cap stocks and conducted the analysis from both a tick-size-series and...
Main Authors: | , , |
---|---|
Format: | Article |
Language: | English |
Published: |
Frontiers Media S.A.
2020-05-01
|
Series: | Frontiers in Physics |
Subjects: | |
Online Access: | https://www.frontiersin.org/article/10.3389/fphy.2020.00135/full |