{"id":"https://openalex.org/W3032698347","doi":"https://doi.org/10.1137/21m146065x","title":"On Bid and Ask Side-Specific Tick Sizes","display_name":"On Bid and Ask Side-Specific Tick Sizes","publication_year":2023,"publication_date":"2023-11-09","ids":{"openalex":"https://openalex.org/W3032698347","doi":"https://doi.org/10.1137/21m146065x","mag":"3032698347"},"language":"en","primary_location":{"id":"doi:10.1137/21m146065x","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1137/21m146065x","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5087470979","display_name":"Bastien Baldacci","orcid":null},"institutions":[{"id":"https://openalex.org/I4210097156","display_name":"Biologie Computationnelle, Quantitative et Synth\u00e9tique","ror":"https://ror.org/00pcqj134","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I39804081","https://openalex.org/I4210096427","https://openalex.org/I4210097156"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Bastien Baldacci","raw_affiliation_strings":["Quantitative Advisory Solutions, Paris, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Quantitative Advisory Solutions, Paris, France","institution_ids":["https://openalex.org/I4210097156"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5083255664","display_name":"Philippe Bergault","orcid":null},"institutions":[{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]},{"id":"https://openalex.org/I4210139461","display_name":"Laboratoire d'Informatique de l'\u00c9cole Polytechnique","ror":"https://ror.org/04afed728","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I142476485","https://openalex.org/I4210139461","https://openalex.org/I4210145102","https://openalex.org/I4210159245"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Philippe Bergault","raw_affiliation_strings":["\u00c9cole Polytechnique, CMAP, 91128, Palaiseau, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"\u00c9cole Polytechnique, CMAP, 91128, Palaiseau, France","institution_ids":["https://openalex.org/I142476485","https://openalex.org/I4210139461"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5047601136","display_name":"Joffrey Derchu","orcid":"https://orcid.org/0000-0002-2282-4866"},"institutions":[{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]},{"id":"https://openalex.org/I4210139461","display_name":"Laboratoire d'Informatique de l'\u00c9cole Polytechnique","ror":"https://ror.org/04afed728","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I142476485","https://openalex.org/I4210139461","https://openalex.org/I4210145102","https://openalex.org/I4210159245"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Joffrey Derchu","raw_affiliation_strings":["\u00c9cole Polytechnique, CMAP, 91128, Palaiseau, France"],"raw_orcid":"https://orcid.org/0000-0002-2282-4866","affiliations":[{"raw_affiliation_string":"\u00c9cole Polytechnique, CMAP, 91128, Palaiseau, France","institution_ids":["https://openalex.org/I142476485","https://openalex.org/I4210139461"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5068736485","display_name":"Mathieu Rosenbaum","orcid":"https://orcid.org/0000-0001-7489-1115"},"institutions":[{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]},{"id":"https://openalex.org/I4210139461","display_name":"Laboratoire d'Informatique de l'\u00c9cole Polytechnique","ror":"https://ror.org/04afed728","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I142476485","https://openalex.org/I4210139461","https://openalex.org/I4210145102","https://openalex.org/I4210159245"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Mathieu Rosenbaum","raw_affiliation_strings":["\u00c9cole Polytechnique, CMAP, 91128, Palaiseau, France"],"raw_orcid":"https://orcid.org/0000-0001-7489-1115","affiliations":[{"raw_affiliation_string":"\u00c9cole Polytechnique, CMAP, 91128, Palaiseau, France","institution_ids":["https://openalex.org/I142476485","https://openalex.org/I4210139461"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5087470979"],"corresponding_institution_ids":["https://openalex.org/I4210097156"],"apc_list":null,"apc_paid":null,"fwci":0.2822,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.53529671,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"14","issue":"4","first_page":"1215","last_page":"1248"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10019","display_name":"Corporate Finance and Governance","score":0.9921000003814697,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9901999831199646,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/bid-price","display_name":"Bid price","score":0.8277324438095093},{"id":"https://openalex.org/keywords/tick-size","display_name":"Tick size","score":0.8160916566848755},{"id":"https://openalex.org/keywords/market-liquidity","display_name":"Market liquidity","score":0.6418315172195435},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6082457304000854},{"id":"https://openalex.org/keywords/market-microstructure","display_name":"Market microstructure","score":0.6047780513763428},{"id":"https://openalex.org/keywords/ask-price","display_name":"Ask price","score":0.5573787689208984},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5516369342803955},{"id":"https://openalex.org/keywords/bid\u2013ask-spread","display_name":"Bid\u2013ask spread","score":0.5057926177978516},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.5002651214599609},{"id":"https://openalex.org/keywords/relevance","display_name":"Relevance (law)","score":0.47625303268432617},{"id":"https://openalex.org/keywords/tick","display_name":"Tick","score":0.4496121108531952},{"id":"https://openalex.org/keywords/quality","display_name":"Quality (philosophy)","score":0.4480734169483185},{"id":"https://openalex.org/keywords/market-maker","display_name":"Market maker","score":0.44150063395500183},{"id":"https://openalex.org/keywords/point","display_name":"Point (geometry)","score":0.42488521337509155},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.39804399013519287},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3739376664161682},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.287354052066803},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2439993917942047},{"id":"https://openalex.org/keywords/monetary-economics","display_name":"Monetary economics","score":0.20170339941978455},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1681532859802246},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.11571952700614929},{"id":"https://openalex.org/keywords/biology","display_name":"Biology","score":0.10021299123764038}],"concepts":[{"id":"https://openalex.org/C76281924","wikidata":"https://www.wikidata.org/wiki/Q1499526","display_name":"Bid price","level":2,"score":0.8277324438095093},{"id":"https://openalex.org/C2776689027","wikidata":"https://www.wikidata.org/wiki/Q1354947","display_name":"Tick size","level":3,"score":0.8160916566848755},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.6418315172195435},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6082457304000854},{"id":"https://openalex.org/C51926234","wikidata":"https://www.wikidata.org/wiki/Q3312426","display_name":"Market microstructure","level":3,"score":0.6047780513763428},{"id":"https://openalex.org/C90329073","wikidata":"https://www.wikidata.org/wiki/Q914232","display_name":"Ask price","level":2,"score":0.5573787689208984},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5516369342803955},{"id":"https://openalex.org/C2776299251","wikidata":"https://www.wikidata.org/wiki/Q1542622","display_name":"Bid\u2013ask spread","level":3,"score":0.5057926177978516},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.5002651214599609},{"id":"https://openalex.org/C158154518","wikidata":"https://www.wikidata.org/wiki/Q7310970","display_name":"Relevance (law)","level":2,"score":0.47625303268432617},{"id":"https://openalex.org/C2779620486","wikidata":"https://www.wikidata.org/wiki/Q10304508","display_name":"Tick","level":2,"score":0.4496121108531952},{"id":"https://openalex.org/C2779530757","wikidata":"https://www.wikidata.org/wiki/Q1207505","display_name":"Quality (philosophy)","level":2,"score":0.4480734169483185},{"id":"https://openalex.org/C18991353","wikidata":"https://www.wikidata.org/wiki/Q1137319","display_name":"Market maker","level":4,"score":0.44150063395500183},{"id":"https://openalex.org/C28719098","wikidata":"https://www.wikidata.org/wiki/Q44946","display_name":"Point (geometry)","level":2,"score":0.42488521337509155},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.39804399013519287},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3739376664161682},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.287354052066803},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2439993917942047},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.20170339941978455},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1681532859802246},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.11571952700614929},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.10021299123764038},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/21m146065x","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1137/21m146065x","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:HAL:hal-04320230v1","is_oa":false,"landing_page_url":"https://hal.science/hal-04320230","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Financial Mathematics, 2023, 14 (4), pp.1215-1248. ⟨10.1137/21M146065X⟩","raw_type":"Journal articles"},{"id":"pmh:oai:RePEc:arx:papers:2005.14126","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/9","score":0.46000000834465027,"display_name":"Industry, innovation and infrastructure"}],"awards":[{"id":"https://openalex.org/G7700321629","display_name":null,"funder_award_id":"679836","funder_id":"https://openalex.org/F4320334678","funder_display_name":"European Research Council"}],"funders":[{"id":"https://openalex.org/F4320334678","display_name":"European Research Council","ror":"https://ror.org/0472cxd90"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W1854349910","https://openalex.org/W2023748801","https://openalex.org/W2032316144","https://openalex.org/W2035637414","https://openalex.org/W2065436428","https://openalex.org/W2120949767","https://openalex.org/W2134766159","https://openalex.org/W2162288466","https://openalex.org/W2163435016","https://openalex.org/W2292370562","https://openalex.org/W2297399739","https://openalex.org/W2297846117","https://openalex.org/W2738168128","https://openalex.org/W2801291183","https://openalex.org/W2953507909","https://openalex.org/W2964091649","https://openalex.org/W3100847226","https://openalex.org/W3121712217","https://openalex.org/W3121800934","https://openalex.org/W3122454986","https://openalex.org/W3123146600","https://openalex.org/W3124270399","https://openalex.org/W3124524791","https://openalex.org/W3124615917","https://openalex.org/W3125878626","https://openalex.org/W3126134303","https://openalex.org/W3140916397","https://openalex.org/W4243838529","https://openalex.org/W4292027175","https://openalex.org/W4298284876"],"related_works":["https://openalex.org/W1546992498","https://openalex.org/W2376372845","https://openalex.org/W2381685027","https://openalex.org/W3121896932","https://openalex.org/W3145270227","https://openalex.org/W2961051784","https://openalex.org/W3032698347","https://openalex.org/W3123410570","https://openalex.org/W2299163772","https://openalex.org/W1978693379"],"abstract_inverted_index":{"International":[0],"audience":[1]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2020,"cited_by_count":1}],"updated_date":"2026-05-07T13:39:58.223016","created_date":"2025-10-10T00:00:00"}