Tick Size Changes In ASX 3-Year Futures And Its Impact On Microstructure Variables

Tick size or minimum price increment is set by the exchanges and is often a common way to improve the quality of price discovery. For example, ASX changed the 3-Year bond futures (YT) minimum price increment from 0.005% to 0.010% starting Oct 18, 2022. See 1 for more details. This paper aims to analyze the impact of the tick size increment on the microstructure changes. The paper’s analysis is relevant for the buy-side, sell-side, and exchanges.

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