Discrete Pricing and Market Fragmentation: A Tale of Two-Sided Markets
研究发现美国证券交易中统一的1美分最小价格变动（tick size）导致低价证券交易更加分散，而股票反向分割通过提高价格、降低相对tick size，有助于交易集中。
Security trading now fragments into more than ten almost identical stock exchanges in the United States. We show that discrete pricing is one economic force that prevents the consolidation of trading volume. The uniform one-cent tick size (minimum price variation), imposed by the SEC's Rule 612, leads to more dispersed trading for lower priced securities. When a security reverse splits, its price increases and relative tick size (one cent divided by the price) decreases. We find that reverse splits consolidate trading of securities, using securities with identical underlying fundamentals that do not reverse split as the control group.