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NYSE execution quality subsequent to migration to hybrid

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  • Jose Gutierrez
  • Yiuman Tse

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11156-008-0101-z
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 33 (2009)
    Issue (Month): 1 (July)
    Pages: 59-81

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    Handle: RePEc:kap:rqfnac:v:33:y:2009:i:1:p:59-81

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: Hybrid; Electronic trading; Market quality; G14;

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    References

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    1. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    2. G. Geoffrey Booth & Ji-Chai Lin & Teppo Martikainen & Yiuman Tse, 2002. "Trading and Pricing in Upstairs and Downstairs Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1111-1135.
    3. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
    4. He, Chen & Odders-White, Elizabeth & Ready, Mark J., 2006. "The impact of preferencing on execution quality," Journal of Financial Markets, Elsevier, vol. 9(3), pages 246-273, August.
    5. Boehmer, Ekkehart, 2005. "Dimensions of execution quality: Recent evidence for US equity markets," Journal of Financial Economics, Elsevier, vol. 78(3), pages 553-582, December.
    6. Hendershott, Terrence & Jones, Charles M., 2005. "Trade-through prohibitions and market quality," Journal of Financial Markets, Elsevier, vol. 8(1), pages 1-23, February.
    7. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June.
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    Cited by:
    1. Kee Chung & Jangkoo Kang & Joon-Seok Kim, 2011. "Tick size, market structure, and market quality," Review of Quantitative Finance and Accounting, Springer, vol. 36(1), pages 57-81, January.
    2. Marc Simpson & Jose Moreno & Teofilo Ozuna, 2012. "The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA," Review of Quantitative Finance and Accounting, Springer, vol. 38(3), pages 347-365, April.

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