Tick Size and Price Reversal after Order Imbalance

It is well known that intraday returns tend to reverse the following period, conditional on excess buying pressure bid or ask side. This suggests liquidity providers “overreact” order imbalance (OIB) by initially altering quotes so much a negative autocorrelation seen in mid-price returns. We investigate under which circumstances this behavior most common. Specifically, it seems tick size augments “OIB-reversal”. However, if binding for of trading day, has opposite effect censoring such reversals. In addition, market high, reversal becomes more frequent.