Imperial College London
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ProfessorCharles-AlbertLehalle

Faculty of Natural Sciences, Department of Mathematics

Visiting Professor
 
 
 
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Contact

 

c.lehalle Website

 
 
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Location

 

Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@unpublished{Huang:2015,
author = {Huang, W and Lehalle, C-A and Rosenbaum, M},
title = {How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program},
url = {http://arxiv.org/abs/1507.07052v1},
year = {2015}
}
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RIS format (EndNote, RefMan)

TY  - UNPB
AB  - 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. The goal of this paper is to demonstrate that the approach introduced in Dayri and Rosenbaum (2015) allows for an ex ante assessment of the consequences of a tick value change on the microstructure of an asset. To that purpose, we analyze the pilot program on tick value modifications started in 2014 by the Tokyo Stock Exchange in light of this methodology. 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 define (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.
AU  - Huang,W
AU  - Lehalle,C-A
AU  - Rosenbaum,M
PY  - 2015///
TI  - How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program
UR  - http://arxiv.org/abs/1507.07052v1
UR  - http://hdl.handle.net/10044/1/33088
ER  -
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