Quote Stuffing

48 Pages Posted: 12 Nov 2011 Last revised: 14 Apr 2016

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

Date Written: March 22, 2016

Abstract

In this study we examine intense episodic spikes in quoting activity (frequently referred to as quote stuffing) on market conditions. We find that quote stuffing is pervasive and that over 74% of U.S. exchange-listed securities experienced at least one episode during 2010. We also find that stocks experience decreased liquidity, higher trading costs, and increased short-term volatility during periods of intense quoting activity. We find that most quote-stuffing events occur on the NYSE, ARCA, NASDAQ, and BATS and that during these quote-stuffing events, the number of new orders and canceled orders increases substantially while the order size and order duration decrease.

Keywords: Quote Stuffing, High Frequency Trading

JEL Classification: G10, G12, G14

Suggested Citation

Egginton, Jared F. and Van Ness, Bonnie F. and Van Ness, Robert A., Quote Stuffing (March 22, 2016). Available at SSRN: https://ssrn.com/abstract=1958281 or http://dx.doi.org/10.2139/ssrn.1958281

Jared Frank Egginton (Contact Author)

Louisiana Tech University - Department of Economics and Finance ( email )

Ruston, LA 71272
United States

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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