When Bigger is Better: The Impact of a Tiny Tick Size on Undercutting Behavior
研究了加密货币市场中微小报价单位如何导致抢先报价行为，发现增大报价单位能减少该行为、提高流动性并降低交易成本，支持在无报价单位限制的市场中提高最小交易增量。
Abstract Economically insignificant tick sizes encourage undercutting behavior, thus harming market quality. Theoretical work shows that increasing tick sizes in unconstrained markets reduces undercutting and improves market quality. Equity market pricing grids are generally too coarse to test this prediction. We examine a cryptocurrency market with infinitesimal tick sizes where undercutting limit orders acquire price priority without meaningful economic cost. We show that increasing tick sizes reduces undercutting behavior, increases liquidity provision and quoted depth, and reduces transaction costs for institutional and retail-sized trades while decreasing short-term volatility. Tiny tick sizes are suboptimal, supporting increased minimum trading increments in tick-unconstrained markets.