Abstract

http://ssrn.com/abstract=610584
 
 

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Locked and Crossed Markets on Nasdaq and the Nyse


Andriy Shkilko


Wilfrid Laurier University

Bonnie F. Van Ness


University of Mississippi - Department of Finance

Robert A. Van Ness


University 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

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Date posted: October 29, 2004 ; Last revised: November 3, 2011

Suggested Citation

Shkilko, Andriy and Van Ness, Bonnie F. and Van Ness, Robert A., Locked and Crossed Markets on Nasdaq and the Nyse (November 3, 2011). Journal of Financial Markets, 2008. Available at SSRN: http://ssrn.com/abstract=610584

Contact Information

Andriy Shkilko (Contact Author)
Wilfrid Laurier University ( email )
SBE 3255
75 University Ave. W.
Waterloo, Ontario N2L3C5
Canada
519.884.0710 ext. 2462 (Phone)
519.884.0201 (Fax)
Bonnie F. Van Ness
University of Mississippi - Department of Finance ( email )
Oxford, MS 38677
United States
662-915-6749 (Phone)
662-915-7968 (Fax)
Robert A. Van Ness
University of Mississippi - Department of Finance ( email )
Oxford, MS 38677
United States
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