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Jun Wu

Wharton Research Data Services (WRDS)

3819 Chestnut St

Suite 300

Philadelphia, PA 19104

United States

  • Wharton Research Data Services (WRDS)

SCHOLARLY PAPERS

4

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Top 46,991

in Total Papers Downloads

2,690

TOTAL CITATIONS

6

Scholarly Papers (4)

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1.

In the Blink of an Eye: Exchange-to-SIP Latency and Trade Classification Accuracy

Number of pages: 63 Posted: 16 May 2023
Craig W. Holden, Matthew Pierson and Jun Wu
Indiana University - Kelley School of Business - Department of Finance, Wharton Research Data Services (WRDS) and Wharton Research Data Services (WRDS)
Downloads 945 (62,392)

Abstract:

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Latency, Trade Classification, Exchange Network, Liquidity

2.

The Illusion of Retail: Identification Errors in Public Data

Number of pages: 55 Posted: 18 Oct 2023 Last Revised: 29 Jan 2026
Robert H. Battalio, Robert H. Jennings, Mehmet Saglam and Jun Wu
University of Notre Dame - Department of Finance, Indiana University - Kelley School of Business - Department of Finance, University of Cincinnati - Department of Finance - Real Estate and Wharton Research Data Services (WRDS)
Downloads 913 (67,485)
Citation 6

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Retail trades

3.

Latency and the Look-Ahead Bias in Trade and Quote Data

The Wharton School Research Paper
Number of pages: 122 Posted: 15 Dec 2025 Last Revised: 31 Mar 2026
Robert H. Battalio, Craig W. Holden, Matthew Pierson, John J. Shim and Jun Wu
University of Notre Dame - Department of Finance, Indiana University - Kelley School of Business - Department of Finance, Wharton Research Data Services (WRDS), University of Notre Dame - Mendoza College of Business and Wharton Research Data Services (WRDS)
Downloads 694 (106,593)

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TAQ, SIP, Latency, Trade Signing, Effective Spread, Price Impact JEL Classification: C81, G12, G14, G20

4.

A Latency Commentary: Why Dynamic RBBO Outperforms Fixed Latency Adjustment

The Wharton School Research Paper
Number of pages: 7 Posted: 11 Apr 2025
Jun Wu and Matthew Pierson
Wharton Research Data Services (WRDS) and Wharton Research Data Services (WRDS)
Downloads 138 (540,814)

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