Abstract
The tick value is a crucial component of market design and is often considered the most suitable tool to mitigate the effects of high frequency trading. We present here a methodology that allows for an ex-ante assessment of the consequences of a tick value change on the microstructure of an asset. We analyze the pilot program on tick value modifi cations started in 2014 by the Tokyo Stock Exchange in light of our approach. We focus on forecasting the future cost of market and limit orders after a tick value change and show that our predictions are very accurate. Furthermore, for each asset involved in the pilot program, we are able to defi ne (ex-ante) an optimal tick value. This enables us to classify the stocks according to the relevance of their tick value, before and after its modification .