This paper investigates the effects of an increase in tick size on order and trading flow across market fee venues. Using the pilot firms in the SEC's Tick Size Pilot Program, we document trade and order volume declines significantly on maker-taker fee venues after the tick size implementation....

We examine the performance of three spread decomposition models which provide estimates of the inventory holding component of the bid-ask spread: the Stoll (1989), Huang and Stoll (1997), and Bollen, Smith, and Whaley (2004) models. As a benchmark for the analysis, we use the order imbalance...