| 主讲人 |
Zhuo Zhong |
简介 |
<p>This paper examines how the relative tick size influences market liquidity and the biodiversity of trader interactions. Using unique NYSE order-level data, we find that a larger relative tick size benefits High-Frequency Trading (HFT) firms that make markets on the NYSE: they leave orders in the book longer, trade more aggressively, and have higher profit margins. The effects of a larger relative tick size on the market are more complex. In a one-tick spread environment, a larger relative tick size results in greater depth and more volume; in a multi-tick environment, the opposite outcome prevails. The negative impact on depth and volume in the multi-tick environment is consistent with greater adverse selection coming from increased undercutting of limit orders by informed HFT market makers.</p> |
| 时间 |
2016-09-26(Monday)16:40-18:00 |
地点 |
N303, Econ Building |
| 讲座语言 |
English |
主办单位 |
WISE & SOE |
| 承办单位 |
|
类型 |
系列讲座 |
| 联系人信息 |
|
主持人 |
Peilin Hsieh |
| 专题网站 |
|
专题 |
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| 主讲人简介 |
<p>Assistant Professor, Department of Finance, The University of Melbourne</p>
<p> </p>
<p><a href="/Upload/File/2016/9/20160919044649247.pdf"><span style="color: rgb(0, 0, 255);"><strong><u>Prof. Zhuo Zhong's CV</u></strong></span></a></p>
<p> </p> |
期数 |
厦门大学金融经济学系列讲座2016秋季学期第一讲（总第20讲） |
