48 Pages Posted: 12 Nov 2011 Last revised: 14 Apr 2016
Date Written: March 22, 2016
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: Suggested Citation