English
Rejoindre la liste d'attente
Les livres... mais pas gratuits
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatistiquesStatistiques de marché et edges1,327StratégiesBibliothèque de stratégies backtestées18Articles de rechercheL’étude derrière les algos301DocumentationRéférence ProBuilder27Programme de développement d’algosCours et leçons24Tout ceci alimente les 24 algosVoir les algos

Stats › Intraday et microstructure de marché › Tick size pilot

A wider tick quintupled displayed depth, widened spreads, and did nothing reliable to volume

Control group|1 cent throughoutBefore the pilot: 1321During the pilot: 16581658Group 1|5 cent quotingBefore the pilot: 1386During the pilot: 60216021Group 2|plus 5 cent tradingBefore the pilot: 1267During the pilot: 59465946Group 3|plus trade-at ruleBefore the pilot: 1400During the pilot: 79957995Before the pilotDuring the pilot

Average quoted national best bid and offer depth in shares, before and during the tick size pilot. Pre-pilot period 1 September 2016 onward, pilot period to 29 December 2017. The difference in differences is significant for group 1 against the control and for group 3 against group 2.

The 2016 pilot widened quoted spreads by about 14% in the test groups and raised displayed depth by 335% to 471%. Volume did not reliably change, and two SEC working papers reach opposite conclusions on whether price efficiency improved or worsened.

+14.46% against +0.73%Average quoted spread change, first test group against control
+334.56% against +25.46%Quoted depth change, first test group against control
+471.03%Quoted depth change, third test group
AucunStatistically significant effective spread results in the 15 month assessment

Réservé aux membres

La suite de cette page est réservée aux membres

Below this point there are 5 sections and 3 named sources, roughly 650 words of it. Every figure carries the source it came from and the date the data is from.

Vous pouvez continuer à parcourir gratuitement toutes les statistiques de la bibliothèque. L'introduction et le résumé sont toujours accessibles.