TY  - UNPD
A1  - Field, Jonathan
A1  - Large, Jeremy
T1  - Pro-rata matching and one-tick futures markets
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,40
N2  - We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically all the time, and which match counterparties using a pro-rata rule. These four markets´ offered depths at the quotes on average exceed mean market order size by two orders of magnitude, and their order cancellation rates (the probability of any given offered lot being cancelled) are significantly over 96 per cent. We develop a simple theoretical model to ex- plain these facts, where strategic complementarities in the choice of limit order size cause traders to risk overtrading by submitting over-sized limit orders, most of which they expect to cancel.
T3  - CFS working paper series - 2008, 40 
KW  - Limit Order Book
KW  - Pro-Rata
KW  - Tick Size
KW  - Bid-Ask Spread
KW  - Depths
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/6182
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-62190
ER  -