On bid and ask side-specific tick sizes
The tick size, which is the smallest increment between two consecutive prices for a given asset, is a key parameter of market microstructure. In particular, the behavior of high frequency market makers is highly related to its value. We take the point of view of an exchange and investigate the relevance of having different tick sizes on the bid and ask sides of the order book. Using an approach based on the model with uncertainty zones, we show that when side-specific tick sizes are suitably chosen, it enables the exchange to improve the quality of liquidity provision.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books
Tick sizes not only influence the granularity of the price formation process but also affect market agents' behavior. We investigate the disparity in the microstructural properties of the Limit Order Book (LOB) across di…
Insights into the Lottery Ticket Hypothesis and Iterative Magnitude Pruning
Lottery ticket hypothesis for deep neural networks emphasizes the importance of initialization used to re-train the sparser networks obtained using the iterative magnitude pruning process. An explanation for why the spec…
Efficient Lottery Ticket Finding: Less Data is More
The lottery ticket hypothesis (LTH) reveals the existence of winning tickets (sparse but critical subnetworks) for dense networks, that can be trained in isolation from random initialization to match the latter's accurac…
Explainable Deep Convolutional Candlestick Learner
Candlesticks are graphical representations of price movements for a given period. The traders can discovery the trend of the asset by looking at the candlestick patterns. Although deep convolutional neural networks have …
Time SeriesTime Series AnalysisServer-side Anti-cheat in FPS games for Aimbot detection using Deep learning and Machine learning
Modern video games are becoming more complex day by day. Most of these modern games are multiplayer first-person shooter (FPS) games. The rising popularity of FPS games emphasizes the need to combat cheating for fair and…