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Locked and Crossed Markets on Nasdaq and the NyseAndriy ShkilkoWilfrid Laurier University Bonnie F. Van NessUniversity of Mississippi - Department of Finance Robert A. Van NessUniversity of Mississippi - Department of Finance November 3, 2011 Journal of Financial Markets, 2008 Abstract: The NBBO for an average active stock is non-positive (locked or crossed) 10.58% and 4.05% of the time on, respectively, the NASDAQ and the NYSE inter-markets. Locks and crosses are frequent fleeting events that usually accompany significant price changes. Non-positive NBBOs arise because of (i) simultaneous and (ii) tardy quote updates, (iii) electronically unreachable quotes, (iv) reluctance to trade against autoquotes, (v) order transit considerations, and (vi) ECN liquidity attraction efforts. Most locks and crosses result from competitive trading practices in contemporary fragmented markets.
Number of Pages in PDF File: 41 Keywords: Locked, Crossed, Multi-market trading Accepted Paper SeriesDate posted: October 29, 2004 ; Last revised: November 3, 2011Suggested CitationContact Information
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