Impact of Tick Size Reduction on Market Microstructure: Implications for ASX Roll Periods

August 31, 2020 - In this paper, we analyze the potential impact of tick size (minimum price increment) changes for the upcoming ASX roll period. ASX will reduce the tick size of the 3-Year and 10-Year interest rate futures during the 5 days of the roll period in September 2020. Specifically, the 3-Year tick size will go from 1/2𝑛𝑑 to 1/5𝑡h basis point, and the 10-Year tick size will change from 1/4𝑡h to 1/10𝑡h basis point during the roll period.

Request the full whitepaper by filling out the form below.