In:
Journal of Futures Markets, Wiley, Vol. 40, No. 3 ( 2020-03), p. 355-373
Abstract:
Algorithmic traders use their advantage of speed to execute a large number of small‐sized trades in a very short time. In the presence of a minimum trading unit (MTU) restriction, they are forced to trade at the smallest possible sizes, often restricted by the MTU. Using a novel data set of single stock futures market obtained from the National Stock Exchange of India, we show that the MTU restriction acts as a binding constraint for traders while optimizing trade sizes. Contrary to expectation, we find weak evidence that liquidity is positively impacted by the contract size revision.
Type of Medium:
Online Resource
ISSN:
0270-7314
,
1096-9934
Language:
English
Publisher:
Wiley
Publication Date:
2020
detail.hit.zdb_id:
2002201-3
SSG:
3,2
Permalink