IDEAS home Printed from
   My bibliography  Save this paper

Quotes, Order Flow, and Price Discovery (Revision of 1-95) (Revised: 3-96)


  • Marshall E. Blume
  • Michael A. Goldstein


In its attempt to integrate the trading of NYSE-listed stocks across market places, the SEC has caused the implementation of three electronic systems which provide a partial integration of these markets. The paper analyzes the implications of this partial integration and shows how it has created market niches in which non-NYSE markets can prosper. The empirical analysis shows: The bid and asked prices of the NYSE quote equal the best prices displayed across all markets most of the time. Non-NYSE markets attract a significant portion of their volume for reasons other than matching or bettering the NYSE quote, such as "payment for order flow." When non-NYSE markets post better bids or offers, they do attract additional order flow, but substantial order flow still flows to other markets. In posting better bids or offers, non-NYSE markets do contribute to "price discovery."

Suggested Citation

  • Marshall E. Blume & Michael A. Goldstein, "undated". "Quotes, Order Flow, and Price Discovery (Revision of 1-95) (Revised: 3-96)," Rodney L. White Center for Financial Research Working Papers 18-95, Wharton School Rodney L. White Center for Financial Research.
  • Handle: RePEc:fth:pennfi:18-95

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fth:pennfi:18-95. 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: (Thomas Krichel). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.