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: | , , |
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| Format: | Article |
| Language: | English |
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Frontiers Media S.A.
2020-05-01
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| Series: | Frontiers in Physics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/article/10.3389/fphy.2020.00135/full |
| Summary: | 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 cross-sectional perspective. The simulation results showed that small-cap stocks were of the lowest quality. Furthermore, quality was generally weakened as tick-size value increased, with expanded bid-ask spreads, elevated market volatility, and reduced market efficiency. |
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| ISSN: | 2296-424X |