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Locked and Crossed Markets on Nasdaq and the Nyse

41 Pages Posted: 29 Oct 2004 Last revised: 3 Nov 2011

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

Date Written: November 3, 2011

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.

Keywords: Locked, Crossed, Multi-market trading

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: https://ssrn.com/abstract=610584

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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