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I happened to see a tweet today from Eric Hunsader of Nanex discussing sub-penny stock pricing. The following conversation of tweets included some links to some old research (mostly 2012-2014) which since it was a subject I'm not completely familiar I followed and read.
If this is something your already familiar with sorry for wasting your time, but if you're like me you might find it an interesting read (it'ss not very long). Many of the articles are repetitive and just regurgitate the same arguments. Two that are a good summary though are ...
Nanex 09-Apr-2014 ~ Economically Insignificant Price Improvement
Nanex ~ 26-Jul-2012 ~ Salami Slicing Sub-Penny Style
The flaw in the "cost to investor B" numbers, is that the numbers assume that investor B never gets filled unless he crosses the spread. For that assumption to be correct the bid-ask would have to never change. The fact that markets go up and down mean that much of the time, Investor B is going to get filled, and is going to get filled at his price. Even so the alleged cost to investor B is in the Billions, so even if these numbers are even fractionally accurate, that's a big number!
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