Abstract

http://ssrn.com/abstract=137949
 
 

Citations



 


 



The Trading Profits of SOES Bandits


Jeffrey H. Harris


American University

Paul H. Schultz


University of Notre Dame - Department of Finance


Journal of Financial Economics, Vol. 50, No. 2, Oct. 1998

Abstract:     
SOES bandits are individual investors who day-trade primarily through Nasdaq's Small Order Execution System (SOES). They attempt to predict short-term price movements of Nasdaq stocks by observing trades and changes in market maker quotes. We find that they usually hold positions for only a few minutes and usually trade profitably. They do not exploit single market makers who have failed to update quotes, but usually trade before the majority of dealers change quotes. It is intersting that SOES bandits trade profitably against dealers who have as much or more information. We attribute this to the greater incentives of the bandits. Market makers are trading with the firm's money while SOES bandits are trading with their own.

Note: This is a description of the paper and is not the actual abstract.

JEL Classification: G12, G14

Accepted Paper Series


Not Available For Download

Date posted: October 30, 1998  

Suggested Citation

Harris, Jeffrey H. and Schultz, Paul H., The Trading Profits of SOES Bandits. Journal of Financial Economics, Vol. 50, No. 2, Oct. 1998. Available at SSRN: http://ssrn.com/abstract=137949

Contact Information

Jeffrey H. Harris
American University ( email )
Kogod School of Business
4400 Massachusetts Ave., N.W.
Washington, DC 20016-8044
United States
202-885-6669 (Phone)
Paul H. Schultz (Contact Author)
University of Notre Dame - Department of Finance ( email )
P.O. Box 399
Notre Dame, IN 46556-0399
United States
219-631-3338 (Phone)
219-631-5255 (Fax)
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