Using limit order books across all US exchanges, we show that while liquidity for small
orders (eg, the quoted and effective spreads) decreases, liquidity for large orders (eg, the …

Using a natural experiment (the SEC's 2016 Tick Size Pilot Program), we investigate the
effects of an increase in tick size on financial reporting quality. The tick size pilot program …

We build statistical models to describe how market participants choose the direction, price,
and volume of orders. Our dataset, which spans 16 weeks for four shares traded in Euronext …

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 …

This paper studies whether stock market liquidity has a causal effect on real earnings
management. We introduce a new and cleaner identification of liquidity shock-the 2016 Tick …

We examine whether an exogenous increase in the minimum tick size created by the natural
experiment, the Tick Size Pilot Program, impacts analyst coverage. Proponents of the Tick …

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 SEC Tick Size Pilot which mandated an increase in minimum tick from 1
to 5 cents for small stocks. We predict and show that an increase in the minimum tick …

This paper investigates the Tick Size Pilot Program with the goal of policy evaluation beyond
average treatment effect. Using a machine learning approach, I study policy effects stock-by …

Tick sizes provide a market quality tradeoff between pricing fidelity and undercutting—
suggesting that the same tick size change may affect narrow and wide-spread stocks …