Internet Appendix for 'How Rigged Are Stock Markets? Evidence from Microsecond Timestamps'

35 Pages Posted: 8 May 2020

See all articles by Robert P. Bartlett

Robert P. Bartlett

University of California, Berkeley - School of Law; University of California, Berkeley - Berkeley Center for Law, Business and the Economy

Justin McCrary

Columbia University - Law School; National Bureau of Economic Research (NBER)

Date Written: May 1, 2019

Abstract

This document contains supporting materials for the article "How Rigged Are Stock Markets? Evidence from Microsecond Timestamps" by Robert P. Bartlett, III and Justin McCrary.

The paper to which this Appendix applies is available at the following URL: https://ssrn.com/abstract=2812123

Keywords: latency arbitrage, high-frequency trading, SIP, market structure

JEL Classification: G10, G15, G18, G23, G28, K22

Suggested Citation

Bartlett, Robert P. and McCrary, Justin, Internet Appendix for 'How Rigged Are Stock Markets? Evidence from Microsecond Timestamps' (May 1, 2019). Journal of Financial Markets, Vol. 45, 2019, Available at SSRN: https://ssrn.com/abstract=3556871

Robert P. Bartlett (Contact Author)

University of California, Berkeley - School of Law ( email )

215 Boalt Hall
Berkeley, CA 94720-7200
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510-642-6646 (Phone)

University of California, Berkeley - Berkeley Center for Law, Business and the Economy

UC Berkeley School of Law
Berkeley, CA 94720

Justin McCrary

Columbia University - Law School ( email )

435 West 116th Street
New York, NY 10025
United States

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
United States

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