AUTHOR=Zhao Ruwei , Cui Yian , Liu Xuenu 

TITLE=Tick Size and Market Quality Using an Agent-Based Multiple-Order-Book Model

JOURNAL=Frontiers in Physics

VOLUME=8

YEAR=2020

URL=https://www.frontiersin.org/journals/physics/articles/10.3389/fphy.2020.00135

DOI=10.3389/fphy.2020.00135

ISSN=2296-424X

ABSTRACT=<p>This study investigated the dynamics between tick size and market quality using an agent-based multiple-order-book stock-market model. Given the multiple-order-book setting, we integrated the model with small-, medium-, and large-cap stocks and conducted the analysis from both a tick-size-series and cross-sectional perspective. The simulation results showed that small-cap stocks were of the lowest quality. Furthermore, quality was generally weakened as tick-size value increased, with expanded bid-ask spreads, elevated market volatility, and reduced market efficiency.</p>