Relative Tick Size and the Trading Environment
利用纽交所数据，研究相对最小报价单位大小如何影响交易者订单策略和市场流动性，发现较大相对最小报价单位有利于高频交易做市商，但会加剧逆向选择。
We investigate how and why relative tick sizes influence traders’ order strategies, and how this affects liquidity provision in the market. Using unique NYSE data, we find that a larger relative tick size benefits high-frequency trading (HFT) market makers: they leave orders in the book longer, trade more aggressively, and have higher profit margins. In a tick-constrained (tick-unconstrained) environment, larger relative ticks result in greater (less) depth, which is consistent with greater adverse selection coming from increased undercutting of limit orders by informed HFT market makers. Received October 12, 2017; editorial decision August 21, 2018 by Editor Thierry Foucault.