Tick Size, Bid-Ask Spreads, and Market Structure
提出市场结构与最小报价单位、买卖价差、报价聚类和市场深度之间的关联，通过分析伦敦证券交易所的交易数据，发现市场特征内生于市场结构。
We propose a link between market structure and the resulting market characteristics—tick size, bid-ask spreads, quote clustering, and market depth. We analyze transactions data of stocks traded on the London Stock Exchange, a dealer market. We conclude that market charateristics are endogenous to the market structure. The London dealer market does not have a mandated tick size, and it exhibits higher spreads, higher quote clusterings, and higher market depth than the NYSE auction market. Clustering of trade prices is similar in London and New York.