文档介绍：Does a Large Minimum Price Variation
Encourage Order Exposure?
Lawrence Harris
University of Southern California
Lawrence Harris
Professor of Finance
School of Business Administration
University of Southern California
Los Angeles, CA 90089-1421
Voice: (213) 740-6496
FAX: (213) 740-6650
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Version
October 24, 1996
The latest draft of this manuscript can be downloaded in Adobe Acrobat PDF format at

The author would greatly appreciate suggestions ments from any source.
The author expresses gratitude to several institutions and individuals for their assistance with this
project. The Toronto Stock Exchange and the SBF Paris Bourse provided the data. The New
York Stock Exchange, Inc. provided financial assistance. Didier Davydoff and Marianne
Demarchi of the Paris Bourse and Meyer Beck, Pearce Bunting, Pina DeSantis, Roland Fleming
and Jim Gallagher of the Toronto Stock Exchange provided the databases and explained their
structure. Mark Carhart, Mendy Fygenson and Ananth Madhavan provided ments
on early drafts. Namrata Aggarwal, Jennifer Ly and especially Venkatesh Panchapagesan
provided very able research assistance at USC.
ABSTRACT
Does a Large Minimum Price Variation
Encourage Order Exposure?
The minimum price variation (tick) affects order exposure. Traders who display their orders risk
being front-run. In markets that enforce time precedence, the tick makes front-running expensive.
It sets the price of obtaining order precedence through price priority when another trader has time
precedence. This paper examines order, quotation, and transaction data from the Paris Bourse
and the Toronto Stock Exchange to characterize the relation between tick size and order
exposure. The results show that traders display more size when the tick is large and when
intraday volatility is small. The topic is particularly timely given recent regulatory i