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File name: SSRN-id2275435. ; Size: 869K
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Quote Stuffing
Jared F. Egginton Louisiana Tech University - Department of Economics and Finance
Bonnie F. Van Ness University of Mississippi - Department of Finance
Robert A. Van Ness University of Mississippi - Department of Finance
June 1, 2013
Abstract:
This study examines the impact that intense episodic spikes in quoting activity (frequently referred to as “quote stuffing”) has on market conditions. We find that quote stuffing is pervasive with several hundred events occurring each trading day and that over 74% of U.S. listed equity securities experience at least one episode during 2010. We find that during periods of intense quoting activity stocks experience decreased liquidity, higher trading costs, and increased short term volatility.
Number of Pages in PDF File: 46
Keywords: Quote Stuffing, High Frequency Trading
JEL Classification: G10, G12, G14
working papers series
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Date posted: November 12, 2011
; Last revised: June 6, 2013
Suggested CitationEgginton, Jared F., Van Ness, Bonnie F. and Van Ness, Robert A., Quote Stuffing (June 1, 2013). Available at SSRN: http://ssrn.com/abstract=1958281 or http://dx.doi.org/10.2139/ssrn.1958281
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