Advanced Search
MyIDEAS: Login

Clean Sweep: Informed Trading through Intermarket Sweep Orders

Contents:

Author Info

  • Sugato Chakravarty

    ()
    (Purdue University)

  • Pankaj Jain

    ()
    (University of Memphis)

  • James Upson

    ()
    (University of Texas, El Paso)

  • Robert Wood

    ()
    (University of Memphis)

Abstract

An intermarket sweep order (ISO) is a limit order that automatically executes in a designated market center even if another market center is publishing a better quotation. An investor submitting an ISO must satisfy order-protection rules by concurrently submitting orders to the markets with better prices. We find that ISOs represent 46% of trades and 41% of volume in our sample. ISO trades have significantly larger information share despite their small trade size relative to non-ISO trades. Post trade return analysis suggests that informed institutions are the main users of ISO trades.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: ftp://128.210.123.107/csr/wpaper/ISOR4_0_JFQAR4_Final.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Purdue University, Department of Consumer Sciences in its series Working Papers with number 1007.

as in new window
Length: 44 pages
Date of creation: Jan 2011
Date of revision:
Publication status: Forthcoming in the Journal of Financial and Quantitative Analysis, pp 1-45
Handle: RePEc:csr:wpaper:1007

Contact details of provider:
Postal: 812 West State Street, West Lafayette, IN 47906
Fax: (765) 494-0869
Web page: http://www.cfs.purdue.edu/csr/
More information through EDIRC

Related research

Keywords: Regulation NMS; Market Quality; Sweep Order; Flash orders;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Jordi Brandts & Gary Charness, 1998. "Hot vs. cold: Sequential responses and preference stability in experimental games," Economics Working Papers 321, Department of Economics and Business, Universitat Pompeu Fabra.
  2. Axel Ockenfels & Gary E. Bolton, 2000. "ERC: A Theory of Equity, Reciprocity, and Competition," American Economic Review, American Economic Association, vol. 90(1), pages 166-193, March.
  3. Falk, Armin & Kosfeld, Michael, 2003. "It's all about Connections: Evidence on Network Formation," IZA Discussion Papers 777, Institute for the Study of Labor (IZA).
  4. Reuben, Ernesto & van Winden, Frans, 2008. "Social ties and coordination on negative reciprocity: The role of affect," Journal of Public Economics, Elsevier, vol. 92(1-2), pages 34-53, February.
  5. Matthias Sutter, 2007. "Deception through telling the truth?! Experimental evidence from individuals and teams," Working Papers 2007-26, Faculty of Economics and Statistics, University of Innsbruck.
  6. Scheinkman, Jose A. & Soutter, Christine L. & Glaeser, Edward Ludwig & Laibson, David I., 2000. "Measuring Trust," Scholarly Articles 4481497, Harvard University Department of Economics.
  7. Gary Charness & Matthew Rabin, 2003. "Understanding Social Preferences with Simple Tests," General Economics and Teaching 0303002, EconWPA.
  8. Bruno S. Frey & Iris Bohnet, 1999. "Social Distance and Other-Regarding Behavior in Dictator Games: Comment," American Economic Review, American Economic Association, vol. 89(1), pages 335-339, March.
  9. V. Crawford & J. Sobel, 2010. "Strategic Information Transmission," Levine's Working Paper Archive 544, David K. Levine.
  10. Guth, Werner & Huck, Steffen & Muller, Wieland, 2001. "The Relevance of Equal Splits in Ultimatum Games," Games and Economic Behavior, Elsevier, vol. 37(1), pages 161-169, October.
  11. Timothy N. Cason & Vai-Lam Mui, 1998. "Social Influence in the Sequential Dictator Game," Development Research Unit Working Paper Series archive-37, Monash University, Department of Economics.
  12. Antoni Bosch-Domènech & Joaquim Silvestre, 2002. "Reflections on gains and losses: A 2x2x7 experiment," Economics Working Papers 640, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2005.
  13. James C. Cox & Cary A. Deck, 2005. "On the Nature of Reciprocal Motives," Economic Inquiry, Western Economic Association International, vol. 43(3), pages 623-635, July.
  14. Jeannette Brosig & Joachim Weimann & Chun-Lei Yang, 2003. "The Hot Versus Cold Effect in a Simple Bargaining Experiment," Experimental Economics, Springer, vol. 6(1), pages 75-90, June.
  15. Oxoby, Robert J. & McLeish, Kendra N., 2004. "Sequential decision and strategy vector methods in ultimatum bargaining: evidence on the strength of other-regarding behavior," Economics Letters, Elsevier, vol. 84(3), pages 399-405, September.
  16. Hoffman, Elizabeth & McCabe, Kevin & Smith, Vernon L, 1996. "Social Distance and Other-Regarding Behavior in Dictator Games," American Economic Review, American Economic Association, vol. 86(3), pages 653-60, June.
  17. Urs Fischbacher, 2007. "z-Tree: Zurich toolbox for ready-made economic experiments," Experimental Economics, Springer, vol. 10(2), pages 171-178, June.
  18. Uri Gneezy, 2005. "Deception: The Role of Consequences," American Economic Review, American Economic Association, vol. 95(1), pages 384-394, March.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Cappelen, Alexander W. & Sørensen, Erik Ø. & Tungodden, Bertil, 2012. "When do we lie?," Discussion Paper Series in Economics 17/2012, Department of Economics, Norwegian School of Economics.
  2. M. Vittoria Levati & Aaron Nicholas & Birendra Rai, 2011. "Testing the Framework of Other-Regarding Preferences," Jena Economic Research Papers 2011-041, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
  3. M. Vittoria Levati & Aaron Nicholas & Birendra Rai, 2011. "Testing the Analytical Framework of Other-Regarding Preferences," Development Research Unit Working Paper Series 26-11, Monash University, Department of Economics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:csr:wpaper:1007. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sugato Chakravarty).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.