Market Making with Discrete Prices
交易所强制离散定价导致均衡价格与观测价格出现偏差，竞争性做市商可借此获利以覆盖固定成本；最优最小报价单位在合理参数下可达1/8，且随逆向选择程度递减，离散性本身会引起价差时变、佣金不对称和市场崩溃。
Exchange-mandated discrete pricing restrictions create a wedge between the underlying equilibrium price and the observed price. This wedge permits a competitive market maker to realize economic profits that could help recoup fixed costs. The optimal tick size that maximizes the expected profits of the market maker can equal to $1/8 for reasonable parameter values. The optimal tick size is decreasing in the degree of adverse selection. Discreteness per se can cause time-varying bid-ask spreads, asymmetric commissions, and market breakdowns. Discreteness, which imposes additional transaction costs, reduces the value of private information. Liquidity traders can benefit under certain conditions.