Tick Size And Quote Revisions On The Nyse

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Tick Size and Quote Revisions on the NYSE.

Author : Kee H. Chung
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Tick Size and Quote Revisions on the NYSE. by : Kee H. Chung

Download or read book Tick Size and Quote Revisions on the NYSE. written by Kee H. Chung and published by . This book was released on 2001 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we analyze how tick size affects quote revisions on the NYSE and whether pre-decimalization tick sizes ($1/8 and $1/16) were binding constraints on specialists' spread- and price-quote decisions. We find that the number of quote revisions that involve changes in the spread increased dramatically after the tick-size reduction in 1997. The number of spread-quote revisions is smaller for stocks with lower prices and larger volumes during both the pre and post tick-size change periods. We interpret this result as evidence that the minimum price variation is a binding constraint on absolute spreads even after the tick-size reduction, especially for low-price and/or large-volume stocks. The number of quote revisions that involve changes in the spread (depth) is largest (smallest) during the early hour of trading, suggesting that the minimum price variation is least likely to be the binding constraint on spreads during the early hour of trading. These results suggest that decimalization is likely to further reduce price rigidity and increase price competition. Consistent with this expectation, we find a significant increase in the frequency of spread- and price-quote revisions after decimalization.

An Empirical Examination of Intraday Quote Revisions on the New York Stock Exchange

Author : Mitchell A. Petersen
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis An Empirical Examination of Intraday Quote Revisions on the New York Stock Exchange by : Mitchell A. Petersen

Download or read book An Empirical Examination of Intraday Quote Revisions on the New York Stock Exchange written by Mitchell A. Petersen and published by . This book was released on 1991 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Eighths, Sixteenths and Market Depth

Author : Michael A. Goldstein
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Eighths, Sixteenths and Market Depth by : Michael A. Goldstein

Download or read book Eighths, Sixteenths and Market Depth written by Michael A. Goldstein and published by . This book was released on 2006 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use limit order data provided by the New York Stock Exchange (NYSE) to investigate the impact of reducing the minimum tick size on the liquidity of the market. Specifically, we analyze both spreads and depths (quoted and on the limit order book) for periods before and after the NYSE's change from eighths to sixteenths. Similar to other studies, we find that quoted spreads and quoted depth declined after the change. However, we find that depth declined throughout the entire limit order book as well. The combined effect of smaller spreads and reduced cumulative depth in the limit order book has made liquidity demanders trading small orders better off while those trading large orders worse off. The benefit to the small order occurs mostly in frequently traded stocks, while small orders in infrequently traded stocks see little, if any, benefit.

Eights, Sixteenths and Market Depth

Author : Michael A. Goldstein
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (233 download)

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Book Synopsis Eights, Sixteenths and Market Depth by : Michael A. Goldstein

Download or read book Eights, Sixteenths and Market Depth written by Michael A. Goldstein and published by . This book was released on 1998 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Implications of a Reduction in Tick Size on Short-Sell Order Execution

Author : Gordon J. Alexander
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Implications of a Reduction in Tick Size on Short-Sell Order Execution by : Gordon J. Alexander

Download or read book Implications of a Reduction in Tick Size on Short-Sell Order Execution written by Gordon J. Alexander and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The U. S. Securities and Exchange Commission is committed to having exchanges fully implement decimal pricing by April 9, 2001, and is also considering revising the Uptick Rule. We consider the likely impact of the pending smaller tick size associated with decimalization on the efficacy of this rule by examining the execution quality of NYSE short-sell orders immediately before and after the tick size was reduced from 1/8th to 1/16th in 1997. We conclude that, in general, short market orders will receive better execution after decimalization, but at-the-quote limit orders will receive worse execution, and suggest revisions to the Rule.

Market Microstructure in Emerging and Developed Markets

Author : H. Kent Baker
Publisher : John Wiley & Sons
ISBN 13 : 1118421485
Total Pages : 758 pages
Book Rating : 4.1/5 (184 download)

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Book Synopsis Market Microstructure in Emerging and Developed Markets by : H. Kent Baker

Download or read book Market Microstructure in Emerging and Developed Markets written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2013-07-31 with total page 758 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to the dynamic area of finance known as market microstructure Interest in market microstructure has grown dramatically in recent years due largely in part to the rapid transformation of the financial market environment by technology, regulation, and globalization. Looking at market transactions at the most granular level—and taking into account market structure, price discovery, information flows, transaction costs, and the trading process—market microstructure also forms the basis of high-frequency trading strategies that can help professional investors generate profits and/or execute optimal transactions. Part of the Robert W. Kolb Series in Finance, Market Microstructure skillfully puts this discipline in perspective and examines how the working processes of markets impact transaction costs, prices, quotes, volume, and trading behavior. Along the way, it offers valuable insights on how specific features of the trading process like the existence of intermediaries or the environment in which trading takes place affect the price formation process. Explore issues including market structure and design, transaction costs, information flows, and disclosure Addresses market microstructure in emerging markets Covers the legal and regulatory issues impacting this area of finance Contains contributions from both experienced financial professionals and respected academics in this field If you're looking to gain a firm understanding of market microstructure, this book is the best place to start.

How to Match Trades and Quotes for NYSE Stocks?

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (835 download)

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Book Synopsis How to Match Trades and Quotes for NYSE Stocks? by :

Download or read book How to Match Trades and Quotes for NYSE Stocks? written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Trades, Quotes and Prices

Author : Jean-Philippe Bouchaud
Publisher : Cambridge University Press
ISBN 13 : 1108639062
Total Pages : 464 pages
Book Rating : 4.1/5 (86 download)

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Book Synopsis Trades, Quotes and Prices by : Jean-Philippe Bouchaud

Download or read book Trades, Quotes and Prices written by Jean-Philippe Bouchaud and published by Cambridge University Press. This book was released on 2018-03-22 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.

Eighths, Sixteenths and Market Depth

Author : Michael A. Goldstein
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Eighths, Sixteenths and Market Depth by : Michael A. Goldstein

Download or read book Eighths, Sixteenths and Market Depth written by Michael A. Goldstein and published by . This book was released on 1998 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Spreads, Depths, and Quote Clustering on the NYSE and NASDAQ

Author : Kee H. Chung
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Spreads, Depths, and Quote Clustering on the NYSE and NASDAQ by : Kee H. Chung

Download or read book Spreads, Depths, and Quote Clustering on the NYSE and NASDAQ written by Kee H. Chung and published by . This book was released on 2002 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines liquidity and quote clustering on the NYSE and Nasdaq using data after the two market reforms - the 1997 order-handling rule and minimum tick size changes. We find that Nasdaq-listed stocks exhibit wider spreads and smaller depths than NYSE-listed stocks and stocks with higher proportions of even-eighth and even-sixteenth quotes have wider quoted, effective, and realized spreads on both the NYSE and Nasdaq. This result differs from the findings by Bessembinder (1999, p. 404) that quot;trade execution costs on Nasdaq in late 1997 are no longer significantly explained by a tendency for liquidity providers to avoid odd-eighth quotations,quot; and quot;odd-sixteenth avoidance has little relevance for explaining post-reform Nasdaq trading costs.quot.

The New Stock Market

Author : Merritt B. Fox
Publisher : Columbia University Press
ISBN 13 : 023154393X
Total Pages : 612 pages
Book Rating : 4.2/5 (315 download)

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Book Synopsis The New Stock Market by : Merritt B. Fox

Download or read book The New Stock Market written by Merritt B. Fox and published by Columbia University Press. This book was released on 2019-01-08 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S. stock market has been transformed over the last twenty-five years. Once a market in which human beings traded at human speeds, it is now an electronic market pervaded by algorithmic trading, conducted at speeds nearing that of light. High-frequency traders participate in a large portion of all transactions, and a significant minority of all trade occurs on alternative trading systems known as “dark pools.” These developments have been widely criticized, but there is no consensus on the best regulatory response to these dramatic changes. The New Stock Market offers a comprehensive new look at how these markets work, how they fail, and how they should be regulated. Merritt B. Fox, Lawrence R. Glosten, and Gabriel V. Rauterberg describe stock markets’ institutions and regulatory architecture. They draw on the informational paradigm of microstructure economics to highlight the crucial role of information asymmetries and adverse selection in explaining market behavior, while examining a wide variety of developments in market practices and participants. The result is a compelling account of the stock market’s regulatory framework, fundamental institutions, and economic dynamics, combined with an assessment of its various controversies. The New Stock Market covers a wide range of issues including the practices of high-frequency traders, insider trading, manipulation, short selling, broker-dealer practices, and trading venue fees and rebates. The book illuminates both the existing regulatory structure of our equity trading markets and how we can improve it.

Liquidity, Markets and Trading in Action

Author : Deniz Ozenbas
Publisher : Springer Nature
ISBN 13 : 3030748170
Total Pages : 111 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis Liquidity, Markets and Trading in Action by : Deniz Ozenbas

Download or read book Liquidity, Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.

The Impact of a Premium Based Tick Size on Equity Option Liquidity

Author : Thanos Verousis
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Impact of a Premium Based Tick Size on Equity Option Liquidity by : Thanos Verousis

Download or read book The Impact of a Premium Based Tick Size on Equity Option Liquidity written by Thanos Verousis and published by . This book was released on 2014 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: On June 2, 2009, NYSE LIFFE Amsterdam reduced the tick size for options trading at prices below €0.20 from €0.05 to €0.01 and on April 1, 2010, the exchange increased the price threshold to €0.50. We study the effect of that tick size reduction on the liquidity of individual equity options. In this respect, this study is uniquely positioned in the options context where moneyness is a clear additional factor in the implementation of the tick size changes. We show that, in general, quoted and traded option liquidity increased but at a rate decreasing with option moneyness. Real costs have fallen more for the lower priced contracts. Importantly, we show that the ability of the market to absorb larger trades has diminished after the change in the tick size. We document a substantial increase in quote revisions that implies a deterioration in the order book, as it allows traders to take advantage of the price priority rule and step ahead of larger trades. Finally, the decrease in the tick size has led to increased speculative trading behaviour.

The Stock Market

Author : Richard Jack Teweles
Publisher : John Wiley & Sons
ISBN 13 :
Total Pages : 496 pages
Book Rating : 4.:/5 (321 download)

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Book Synopsis The Stock Market by : Richard Jack Teweles

Download or read book The Stock Market written by Richard Jack Teweles and published by John Wiley & Sons. This book was released on 1982 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most popular and respected guide to every facet of the stock market has now been thoroughly updated to reflect the dramatic shifts that have taken place over the past several years. This Wall Street classic continues to provide the most current and comprehensive coverage of the market's participants, principles, and practices. In easy-to-follow, straightforward terms, The Stock Market, 7th Edition shows you how the market works. Beginning with the basics, it takes you from the market's history and products to its basic structure and operation, to the actual techniques used by shareholders and traders. Based on the authors' more than 70 years' combined experience in the field of finance, it shows you how to buy stocks, transact a buy order, and master the often tricky techniques of money management, pyramiding, options, and much more. Every topic is examined from both a broad top-down perspective and with step-by-step guidance. Packed with clear definitions, cutting-edge strategies, and helpful examples, this new edition provides in-depth information on topics that have changed how stocks perform, as well as how they should be handled. In addition to the globalization of the securities business, regulatory changes, program trading, and advances in online services, you'll find details on key developments in several important areas, including the derivatives market, index fund investing, and technical and fundamental analysis. Covering everything from municipal securities and maintenance calls to serial bonds and Nasdaq, this exhaustive reference is invaluable for understanding stock market fundamentals. Now more than ever, it is the one guide every market participant-whether individual investor, broker, or financial advisor-should own.

Advances in Business, Management and Entrepreneurship

Author : Ratih Hurriyati
Publisher : CRC Press
ISBN 13 : 1000651215
Total Pages : 1022 pages
Book Rating : 4.0/5 (6 download)

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Book Synopsis Advances in Business, Management and Entrepreneurship by : Ratih Hurriyati

Download or read book Advances in Business, Management and Entrepreneurship written by Ratih Hurriyati and published by CRC Press. This book was released on 2020-01-06 with total page 1022 pages. Available in PDF, EPUB and Kindle. Book excerpt: The GCBME Book Series aims to promote the quality and methodical reach of the Global Conference on Business Management & Entrepreneurship, which is intended as a high-quality scientific contribution to the science of business management and entrepreneurship. The Contributions are the main reference articles on the topic of each book and have been subject to a strict peer review process conducted by experts in the fields. The conference provided opportunities for the delegates to exchange new ideas and implementation of experiences, to establish business or research connections and to find Global Partners for future collaboration. The conference and resulting volume in the book series is expected to be held and appear annually. The year 2019 theme of book and conference is "Creating Innovative and Sustainable Value-added Businesses in the Disruption Era". The ultimate goal of GCBME is to provide a medium forum for educators, researchers, scholars, managers, graduate students and professional business persons from the diverse cultural backgrounds, to present and discuss their researches, knowledge and innovation within the fields of business, management and entrepreneurship. The GCBME conferences cover major thematic groups, yet opens to other relevant topics: Organizational Behavior, Innovation, Marketing Management, Financial Management and Accounting, Strategic Management, Entrepreneurship and Green Business.

Tick Size and Trading Costs

Author : Kee H. Chung
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Tick Size and Trading Costs by : Kee H. Chung

Download or read book Tick Size and Trading Costs written by Kee H. Chung and published by . This book was released on 2000 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory suggests that a reduction in tick size will cause spreads to narrow on the NYSE due to the time priority rule which encourages specialists and traders to improve price. The effect of tick size on spreads is likely to be small in dealer markets (such as Nasdaq) because dealers have little incentive to improve price. Our empirical results show that the tick size reduction has no impact on the spread of Nasdaq issues that were not subjected to the new order handling rules (OHR). In contrast, the tick size reduction has a significant effect on the spread of NYSE issues and Nasdaq issues that were subjected to the OHR. These results indicate that the new OHR compel Nasdaq dealers and limit order traders to compete on price to obtain order flow. We find that the tick size change has a significant effect on the quoted depth of NYSE issues, but no effect on the quoted depth of Nasdaq issues. Our results indicate that decimalization is likely to narrow spreads, decrease dealer payments for order flow, and reduce order preferencing arrangements.

Market Microstructure Theory

Author : Maureen O'Hara
Publisher : John Wiley & Sons
ISBN 13 : 0631207619
Total Pages : 310 pages
Book Rating : 4.6/5 (312 download)

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Book Synopsis Market Microstructure Theory by : Maureen O'Hara

Download or read book Market Microstructure Theory written by Maureen O'Hara and published by John Wiley & Sons. This book was released on 1998-03-06 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.