摘要翻译：
在这项工作中，我们提供了一个框架，将资产的微观结构属性与交易所的刻度值联系起来。特别是，我们揭示了一个被称为隐性利差的量，它对大的滴答资产起着利差的作用，对于大的滴答资产来说，有效利差几乎总是等于一个滴答。这一新参数的相关性在经验和理论上都得到了证明。这种隐式价差使我们可以量化大型滴答资产的滴答大小，并定义最佳滴答大小的概念。此外，我们的结果为预测在滴答值变化后相关市场数量的行为提供了可能性，并给出了修改滴答值以达到最佳滴答大小的方法。
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英文标题：
《Large tick assets: implicit spread and optimal tick size》
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作者：
Khalil Dayri and Mathieu Rosenbaum
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
  In this work, we provide a framework linking microstructural properties of an asset to the tick value of the exchange. In particular, we bring to light a quantity, referred to as implicit spread, playing the role of spread for large tick assets, for which the effective spread is almost always equal to one tick. The relevance of this new parameter is shown both empirically and theoretically. This implicit spread allows us to quantify the tick sizes of large tick assets and to define a notion of optimal tick size. Moreover, our results open the possibility of forecasting the behavior of relevant market quantities after a change in the tick value and to give a way to modify it in order to reach an optimal tick size.
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PDF链接：
https://arxiv.org/pdf/1207.6325