The relatively recent phenomenon of high-frequency trading has had a profound impact on
the micro-structure of financial markets. Several authors hailed it as a provider of liquidity …

We characterise the stochastic interaction of learning algorithms as a deterministic system of
differential equations to understand their long-term behaviour in a repeated game. In a …

We document significant changes in the relative price discovery of US markets after the
implementation of the SEC's Tick Size Pilot Program (TSPP). Controlling for the volume …

We study the causal impacts of a tick size reduction policy in highly liquid stocks, exploiting a
unique experiment in Borsa Istanbul leading to substantial exogenous variation in the tick …

Financial markets have always been subject to various risk constraints which are necessary
for better market prediction and accurate pricing. In this context, we derive stock price …

This paper analyzes the effect of the SEC tick size pilot on market quality variables. We find
the predicted trade-off from bigger tick sizes: greater cost of execution (spreads) and greater …

This paper investigates the way that minimum tick size affects market quality based on an
agent‐based artificial stock market. Our results indicate that stepwise and combination …

We investigate the market quality effects of stock exchange demutualization and find that
demutualized exchanges have achieved significant improvements in market quality …

This paper examines order price clustering, size clustering, and stock price movements in an
active emerging country's equities market, the Taiwan Stock Exchange (TWSE). We first …

" As transações em bolsa feitas por máquinas que decidem em fração de milésimo de
segundo as compras ou as vendas de ações—o valor mobiliário por ele tratado—podem …