两种后果的故事：日本TOPIX最小价格变动单位变更的预期和非预期结果
A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes
摘要：
我们研究了东京证券交易所于2014年1月14日和2014年7月22日对东证100指数名称进行的最小价格变动单位变动的影响。这一变化的预期结果是价格提高和执行时间缩短。我们查看安全级别指标，包括点差、交易量、交易数量和交易规模，以确定是否实现了这一目标。一个意想不到的影响可能是执行规模的减少，这将意味着拥有大量订单的机构将更难获得流动性。我们查看一个真实订单的样本，看看自实施此更改以来，订单的执行成本是否有所上升。在深入研究东京证券交易所最小价格变动单位事件的具体细节之前，我们研究了影响证券在交易所交易的机制。我们探讨的一些主题是：场馆菜单和如何增加收入;自动化或不自动化;显微镜下的微观结构;连接到高的价格（和遥远的）地方;速度惊险，但杀死;选择一个大小的完美滴答; TSE最小价格变动单位实验，然后和现在;谢尔盖布勃卡和监管机构;鸟瞰图;深潜;可能的深潜;最小价格变动单位重要吗？最小价格变动单位很重要！
英文摘要：
We look at the effect of the tick size changes on the TOPIX 100 index names made by the Tokyo Stock Exchange on Jan-14-2014 and Jul-22-2104. The intended consequence of the change is price improvement and shorter time to execution. We look at security level metrics that include the spread, trading volume, number of trades and the size of trades to establish whether this goal is accomplished. An unintended effect might be the reduction in execution sizes, which would then mean that institutions with large orders would have greater difficulty in sourcing liquidity. We look at a sample of real orders to see if the execution costs have gone up across the orders since the implementation of this change. We study the mechanisms that affect how securities are traded on an exchange, before delving into the specifics of the TSE tick size events. Some of the topics we explore are: The Venue Menu and How to Increase Revenue; To Automate or Not to Automate; Microstructure under the Microscope; The Price of Connections to High (and Faraway) Places; Speed Thrills but Kills; Pick a Size for the Perfect Tick; TSE Tick Size Experiments, Then and Now; Sergey Bubka and the Regulators; Bird`s Eye View; Deep Dive; Possibilities for a Deeper Dive; Does Tick Size Matter? Tick Size Does Matter!
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
