Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes
研究交易所最小价格变动规则如何导致离散买卖价差，并利用日内股票报价数据估计模型，预测若最小变动单位改为1/16美元，低价股价差将缩小38%、报价规模减少16%、日成交量增加34%。
Exchange minimum price variation regulations create discrete bid–ask spreads. If the minimum quotable spread exceeds the spread that otherwise would be quoted, spreads will be wide and the number of shares offered at the bid and ask may be large. A cross-sectional discrete spread model is estimated by using intraday stock quotation spread frequencies. The results are used to project |${\boldsymbol \$} {\textstyle{1 \over {16}}}$| spread usage frequencies given a |${\boldsymbol \$} {\textstyle{1 \over {16}}}$| tick. Projected changes in quotation sizes and in trade volumes are obtained from regression models. For stocks priced under $10, the models predict spreads would decrease 38 percent, quotation sizes would decrease 16 percent, and daily volume would increase 34 percent.