Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange

被引:41
作者
Bacidore, J
Battalio, RH
Jennings, RH
机构
[1] Kelley Sch Business, Dept Finance, Bloomington, IN 47405 USA
[2] Univ Notre Dame, Dept Finance & Business Econ, Notre Dame, IN 46556 USA
[3] Goldman Sachs & Co Inc, Deritatives & Trading Res, New York, NY 10004 USA
关键词
decimalization; trading strategies; liquidity; trading costs;
D O I
10.1016/S1386-4181(03)00003-X
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We use NYSE system order data to conduct a controlled experiment examining changes in trader behavior, displayed liquidity supply, and execution quality around the reduction in the minimum price variation to $0.01. Although traders do not substantially reduce their use of traditional limit orders in favor of market orders or non-displayed orders, they do decrease limit order size and cancel limit orders more frequently after decimals than before. These changes in order submission strategy appear to result in less displayed liquidity throughout the limit order book more than 15 cents from the quote midpoint. This reduction in displayed liquidity, however, does not manifest itself in poor execution quality. Even for large system orders, traditional execution quality is not worse with decimals than with fractions. (C) 2003 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:337 / 362
页数:26
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