What Makes HFTs Tick? Tick Size Changes and Information Advantage in a Market with Fast and Slow Traders
研究了即期外汇市场最小报价单位先降后升对快慢交易者行为的影响，发现报价单位缩小显著增加了高频交易者的流动性需求而非供给，并使其利用更多价格信号获利，损害慢速交易者，同时削弱即期市场的价格发现功能。
We study the impact of two changes in the minimum tick size, a reduction and a subsequent increase, on the trading behavior of fast and slow traders in the spot foreign exchange market. We find that the most notable impact of the tick size reduction is a substantial increase in the liquidity demand of high-frequency traders (HFTs) and not the decrease in their liquidity provision discussed by prior literature. We show that this change in behavior is linked to the higher frequency of price signals that arises with the smaller tick size and to the ability of fast traders to profit from it, often at the detriment of slower traders. Following the tick size decrease and the increase in liquidity demand by HFTs in the spot market, the role of the spot market in price discovery drops relative to that of the futures market. We discuss these findings in the context of the impact of HFTs on the information content of financial markets. This paper was accepted by Agostino Capponi, finance. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2022.02935 .