On Bid and Ask Side-Specific Tick Sizes

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2023-11-09 DOI:10.1137/21m146065x

Bastien Baldacci, Philippe Bergault, Joffrey Derchu, Mathieu Rosenbaum

引用次数: 5

Abstract

The tick size, which is the smallest increment between two consecutive prices for a given asset, is a key parameter of market microstructure. In particular, the behavior of high frequency market makers is highly related to its value. We take the point of view of an exchange and investigate the relevance of having different tick sizes on the bid and ask sides of the order book. Using an approach based on the model with uncertainty zones, we show that when side-specific tick sizes are suitably chosen, it enables the exchange to improve the quality of liquidity provision.

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关于买入价和卖出价的特定刻度大小

滴答大小，即给定资产的两个连续价格之间的最小增量，是市场微观结构的一个关键参数。特别是高频做市商的行为与其价值高度相关。我们从交易所的角度出发，调查在订单簿的买入价和卖出价上有不同刻度大小的相关性。使用基于不确定区域模型的方法，我们表明，当选择适当的特定方刻度大小时，它使交易所能够提高流动性提供的质量。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.