2011 Poster Sessions : Empirical Analysis of Tick Sizes and Exchange Efficiency

Student Name : Waraporn Tongprasit
Advisor : Benjamin Van Roy
Research Areas: Information Systems
We present findings from an empirical analysis of the efficiency of the Stock Exchange of Thailand (SET) and the impact of a tick size reduction. Contrary to the common belief that the reduction enhanced efficiency, our analysis suggests that for some stocks it led to significant decreases in efficiency. In particular, our results indicate that, although tick size reduction did increase trading volume, the average utility gain per trade decreased. For some stocks the latter effect dominated the former, resulting in overall efficiency losses.

W. Tongprasit is a Ph.D. candidate in the department of Management Science and Engineering, Stanford University. She received her B.Eng. in Computer Engineering from Chulalongkorn University, Thailand in 1999 and her M.S. in Computer Science from Stanford University in 2002. She worked as a contracted Research Scientist at NASA Ames Research Center from 2002 to 2006 before she joined the Ph.D. program. Her research interests include stochastic modeling and high volume data analysis of financial markets.