G2TT
来源类型Discussion paper
规范类型论文
来源IDDP1744
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
URLhttps://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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