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Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange

  • Bacidore, Jeffrey
  • Battalio, Robert H.
  • Jennings, Robert H.
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    No abstract is available for this item.

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    File URL: http://www.sciencedirect.com/science/article/B6VHN-480CTG0-1/2/0939a70c4028e3303832337a01224060
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    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 6 (2003)
    Issue (Month): 3 (May)
    Pages: 337-362

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    Handle: RePEc:eee:finmar:v:6:y:2003:i:3:p:337-362
    Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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    1. Kenneth A. Kavajecz, 1999. "A Specialist's Quoted Depth and the Limit Order Book," Journal of Finance, American Finance Association, vol. 54(2), pages 747-771, 04.
    2. Sofianos, George & Werner, Ingrid M., 2000. "The trades of NYSE floor brokers," Journal of Financial Markets, Elsevier, vol. 3(2), pages 139-176, May.
    3. David C. Porter & Daniel G. Weaver, 1997. "Tick Size and Market Quality," Financial Management, Financial Management Association, vol. 26(4), Winter.
    4. Ahn, Hee-Joon & Cao, Charles Q. & Choe, Hyuk, 1996. "Tick Size, Spread, and Volume," Journal of Financial Intermediation, Elsevier, vol. 5(1), pages 2-22, January.
    5. Peterson, Mark & Sirri, Erik, 2002. "Order Submission Strategy and the Curious Case of Marketable Limit Orders," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(02), pages 221-241, June.
    6. Michael A. Goldstein & Kenneth A. Kavajecz, . "Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE," Rodney L. White Center for Financial Research Working Papers 14-98, Wharton School Rodney L. White Center for Financial Research.
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