The effect of tick size on trading volume share in three competing stock markets

29th Workshop on Recent Developments in Computer Simulation Studies in Condensed Matter Physics

物理学;计算机科学

Nagumo, Shota^1 ; Shimada, Takashi^1 ; Ito, Nobuyasu^1,2

Department of Applied Physics, Graduate School of Engineering, University of Tokyo, Hongo 7-3-1, Bunkyo-ku, Tokyo

113-8654, Japan^1

RIKEN Advanced Institute for Computational Science, Minatojima Minamicho 7-1-26, Chuo-ku, Hyogo, Kobe

650-0047, Japan^2

关键词: Multiple markets;    Simple modeling;    Trading volumes;   

Others  :  https://iopscience.iop.org/article/10.1088/1742-6596/750/1/012019/pdf
DOI  :  10.1088/1742-6596/750/1/012019

学科分类：计算机科学（综合）

来源: IOP

【 摘 要 】

The relationship between tick sizes and trading volume share in two and three competing markets is studied theoretically. By introducing a simple model which is equipped with multiple markets and non-strategic traders, we analytically calculate the share. It is shown that share is shifted from a market with a larger tick size to a market with a smaller tick size, and the size of share-shift is determined by difference between tick sizes not by ratio between tick sizes in both cases of two markets and three markets.