| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1744 |
| DP1744 Price Dynamics and Consumer Learning | |
| Xavier Vives; Ramon Caminal | |
| 发表日期 | 1997-11-30 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | This paper analyses the impact of a minimum price variation (tick) and time priority on the quote dynamics and on trading costs when competition for the order flow is dynamic. It finds that convergence to competitive prices can take time and that the speed of convergence is influenced by the tick size, the priority rule and the characteristics of the order arrival process. It also shows that a zero minimum price variation is never optimal when competition for the order flow is dynamic. The paper compares the trading outcomes with and without time priority. It shows that, for reasonable parameterizations, time priority reduces trading costs because it prevents equilibria in which uncompetitive spreads can be sustained. Finally, the paper relates (a) the trading costs to the speed with which liquidity suppliers react to their competitors? offers and (b) the dynamics of the best price in the market to the state of the book. |
| 主题 | Financial Economics |
| 关键词 | Market-microstructure Quote formation Tick size Time priority Trading costs |
| URL | https://cepr.org/publications/dp1744 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530886 |
| 推荐引用方式 GB/T 7714 | Xavier Vives,Ramon Caminal. DP1744 Price Dynamics and Consumer Learning. 1997. |
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