How to Predict the Consequences of a Tick Value Change? Evidence from the Tokyo Stock Exchange Pilot Program
How to Predict the Consequences of a Tick Value Change? Evidence from the Tokyo Stock Exchange Pilot Program
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如何预测价格变动的后果？
DOI：
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发表时间：
2015
期刊：
影响因子：
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通讯作者：
M. Rosenbaum
中科院分区：
文献类型：
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作者：
Weibing Huang;Charles;M. Rosenbaum
报价是市场设计的重要组成部分，通常被认为是减轻高频交易影响的最合适工具。本文的目的是证明Dayri和Rosenbaum（2015）中介绍的方法允许对报价变动对资产微观结构的影响进行事前评估。为此，我们根据这一方法，对东京证券交易所2014年启动的最低报价修正试点项目进行了分析。我们专注于预测市场和限价订单的未来成本后，报价值的变化，并表明我们的预测是非常准确的。此外，对于试点计划中涉及的每种资产，我们能够（事先）定义最佳报价值。这使我们能够根据修改前后的报价值的相关性对股票进行分类。
The tick value is a crucial component of market design and is often considered the most suitable tool to mitigate the effects of high frequency trading. The goal of this paper is to demonstrate that the approach introduced in Dayri and Rosenbaum (2015) allows for an ex ante assessment of the consequences of a tick value change on the microstructure of an asset. To that purpose, we analyze the pilot program on tick value modifications started in 2014 by the Tokyo Stock Exchange in light of this methodology. We focus on forecasting the future cost of market and limit orders after a tick value change and show that our predictions are very accurate. Furthermore, for each asset involved in the pilot program, we are able to define (ex ante) an optimal tick value. This enables us to classify the stocks according to the relevance of their tick value, before and after its modification.