Tick size regulation and the liquidity of UK venues: Three market microstructure essays

This dissertation contributes to the research in the applied market micro-structure field, aiming to investigate the impact of a specific article of the MiFID II enforced on the 3rd of January 2018: the so-called tick size regime. It is constituted by three papers that see in the market regulators and policy-makers their optimal target. The first paper evaluates the consequences of the new regulation on UK minor venues in terms of liquidity and price discovery and highlights minor unintended consequences in the implementation of the new grid. The second paper builds on these conclusions and promotes an alternative to ESMA grid, a recalibration of the tick size that might lead to a greater orderliness of UK order books. Thethirdpaperendogenouslyinvestigatesthebehaviourofthemarketparticipants in the time frame around the MiFID II enforcement, simulating liquidity breakdowns thus providing the regulators with new simple metrics to detect and monitor abnormal market participants interactions.