Empirical analysis of the impact of tick sizes on exchange efficiency
Abstract/Contents
- Abstract
- The welfare gains that a securities exchange delivers to participants is influenced by regulatory and design decisions. One feature of an exchange that is determined by such decisions, for example, is the tick size. I develop two approaches to empirically analyzing the impact of a tick size reduction on exchange efficiency, measured in terms of average per trader gain. For the first approach, I estimate the impact of a tick size reduction using historical data before and after the reduction. I apply this approach to study the impact of a past tick size change and find that, contrary to the common belief that motivates tick size reductions in many securities markets, the overall exchange efficiency decreased after the tick size reduction. For the second approach, I predict the impact of a tick size reduction on a securities market using historical data from the market under the current tick system together with the incremental gradient method and simulation techniques. I test this approach by using it to predict the changes in efficiency after a historical tick size reduction and comparing the predictions to what can be inferred from historical data. The results show strong correlations between the predictions and the estimates obtained from historical data.
Description
| Type of resource | text |
|---|---|
| Form | electronic; electronic resource; remote |
| Extent | 1 online resource. |
| Publication date | 2013 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Associated with | Tongprasit, Waraporn |
|---|---|
| Associated with | Stanford University, Department of Management Science and Engineering |
| Primary advisor | Van Roy, Benjamin |
| Thesis advisor | Van Roy, Benjamin |
| Thesis advisor | Johari, Ramesh, 1976- |
| Thesis advisor | Nagel, Stefan, 1973- |
| Advisor | Johari, Ramesh, 1976- |
| Advisor | Nagel, Stefan, 1973- |
Subjects
| Genre | Theses |
|---|
Bibliographic information
| Statement of responsibility | Waraporn Tongprasit. |
|---|---|
| Note | Submitted to the Department of Management Science and Engineering. |
| Thesis | Thesis (Ph.D.)--Stanford University, 2013. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2013 by Waraporn Tongprasit
- License
- This work is licensed under a Creative Commons Attribution 3.0 Unported license (CC BY).
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