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Special Report on

Tick Size, Spreads, and Liquidity

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This paper analyzes the causal linkage between transaction costs and financial volatility under two methodological improvements over the existingliterature. First, we use panel data in which exogenous transaction cost differences in the French stock market are induced by price level dependentminimum price variation rules (tick size rules). Unlike in previous studies based on one-time regulatory tick size changes (like the U.S.decimalization), we can separately identify and control for marketwide volatility changes. Second, we avoid the pitfalls of biased volatilitymeasurement across regimes by using the range as a tick size ...
Ebook Understanding the Microstructure of Indian Markets - Free ...
Market design is increasingly becoming a focal issue in the market microstructure literature. The primary reason for this interest is the fact that market design influences market conditions, which in turn impact the price formation process. In this study we propose to empirically document the market conditions-liquidity and informational environment that characterize how security markets in India function at the microstructure level. Our study will be based on the stocks listed on the National Stock Exchange (henceforth, NSE) of India which is a completely order driven electronic marketplace. The metric of our primary focus ... market research, surveys and trends
The Meat Commodity Futures
Although pork bellies has been the most publicized by the media, it's a thinly traded market with not enough liquidity, creating wide bid/ask spreads and excessive volatility. Unless you're really expert on pork bellies, stay away from this contract. Pork bellies were the first meat futures contract offered in the form of frozen meat, which is basically bacon. The contract size of pork bellies is 40,000 pounds. Prices are quoted in cents per pound, with one hundred points in every cent. However, one tick is 2.5 points, and so is worth $10. The most active months for delivery of pork bellies are February, March, ... market research, surveys and trends


Tick size change and liquidity provision for Japanese stock ...
The Tokyo Stock Exchange (TSE) introduced a change in its minimum tick sizes on April 13, 1998, for stocks traded at certain price ranges. We investigate the liquidity and market quality of the stocks affected by the tick size change, using a unique and comprehensive tick-by-tick data. We find that the quoted spread (effective spread) declined significantly by 20 to 50 percent (by 24 to 60 percent) after the tick size change. Reductions in spread are greater for firms with greater tick size reductions, greater trading activity, and higher transitory component in the bid–ask spread. Although investors are more aggressive ... industry trends, business articles and survey research
US - Bourghelle-Declerck
Transaction volumes reached €323.46 billion during the first half, ... that the quoted spreads in Paris (0.26 percent) are lower than spreads on similar NYSE ..... Bessembinder, H., 2000, Tick size, spreads and liquidity: an analysis of ... industry trends, business articles and survey research
The S&P broke above the first resistance level at 1100
rose 1% as investors welcomed a better than expected new home sales report. The S&P broke above the first resistance level at 1100. This morning, most Asian shares trade slightly lower. Philadelphia Fed President Plosser said yesterday that the US economy does not need further monetary stimulus from the US central bank. He would like to wait for the “noise” that has affected recent data to pass before making further judgement on the likely path of economic growth. The ECB said it had bought 176 million euros worth of bonds in the week ending July 23, just over half the amount of the previous week in a further sign the programme ... market trends, news research and surveys resources
Not the answer to prevent another flash crash.
from Floyd Norris of the New York Times. His articles talked about how “liquidity providers” are killing the markets and caused the flash crash. I am offering another point of view. Mr. Norris do you want a market for everyone or a stable market? You cannot have both. I do not blame market makers for not wanting to provide a market. A market maker makes his money from the spread, the difference between the bid and ask. Yes they can make money from trading but at times you are going to have to buy shit. If you reduce the tick size there is not enough spread to off-set the cost of all the soap. They were smart enough to ... market trends, news research and surveys resources


Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq ...
TICK SIZE, SPREADS, AND LIQUIDITY. 215. This study provides an alternate empirical analysis of tick size changes, focusing on a set of 765 Nasdaq-listed ... technology research, surveys study and trend statistics
Comment Letter
Apr 27, 2010 ... In Citigroup, public market liquidity providers would execute orders at better prices (tighter bid-ask spread) but the one cent tick size ... technology research, surveys study and trend statistics
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How can day traders beat algos and computer programs of brokers ...
I am day trading Japanese stocks at home in Tokyo using an on-line brokerage account. In January the Tokyo Stock Exchange introduced a new high-speed “arrowhead” system which cut processing time of orders from a few seconds to a few milliseconds. This has egged on higher usage of computers and algorithmic trading systems by execution traders in Tokyo. It has also produced far more instantaneous reactions in the bid/offer spread and volumes associated with it to new orders inputted into the system. Happily, I am making even better money than I was making before the new system was introduced. I try not to do day ...
Where do I get volume data for Iinterest Rate Swaps/Swaptions (US ...
Because those instruments are OTC, there is no volume or any other trading interest indicator that I can get from Bloomberg (tick volume doesn't count). Is there an alternative source for that? posted 10 months ago in Bond Markets , Derivatives Markets | Closed Share This Director at Sapient Global Markets see all my answers This was selected as Best Answer This data is not available. None of the suggestions so far will help. The banks and buy-side firms who trade IRS and Swaptions don't publish trade volumes as they are private bilateral contracts. The BIS report on the OTC market indicates the total size (notional) ...