Tick sizes provide a market quality tradeoff between pricing fidelity and undercutting - suggesting that the same tick size change may affect narrow and wide-spread stocks differently. Using comprehensive depth-of-book data we study the imposition and conclusion of the Tick Size Pilot (TSP)...

By tracking the cumulative inventory position of all passive liquidity providers in the US equity market and matching each position with its offsetting trade, we construct a measure of profits to liquidity provision (realized profitability) and assess how profitability varies with the average...

Traders use Intermarket Sweep Orders (ISO) to trade ``as-if" the market were single-venued and avoid the fragmented environment. Using a sample of over 2,600 securities over the period January 2019 to April 2021, I find that traders are willing to pay a premium of roughly 40% of the effective...