2011
DOI: 10.2139/ssrn.2254516
|View full text |Cite
|
Sign up to set email alerts
|

Sunshine Trading: Flashes of Trading Intent at the Nasdaq

Johannes Atle Skjeltorp,
Elvira Sojli,
Wing Wah Tham

Abstract: Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1

Citation Types

0
2
0

Year Published

2012
2012
2014
2014

Publication Types

Select...
3
1

Relationship

2
2

Authors

Journals

citations
Cited by 4 publications
(2 citation statements)
references
References 78 publications
0
2
0
Order By: Relevance
“…In fact, several exchanges (e.g. Direct Edge, Bats, and Nasdaq) have at least temporarily facilitated price discrimination via trading speed by introducing so-called " ‡ash orders" (see Skjeltorp et al (2011) for details), a practice that has been banned by the SEC in the meantime. Garvey and Wu (2010) provide more direct evidence by showing that geographical distance to the market center is negatively related to execution speed and positively related to transactions costs.…”
Section: Market Ordersmentioning
confidence: 99%
“…In fact, several exchanges (e.g. Direct Edge, Bats, and Nasdaq) have at least temporarily facilitated price discrimination via trading speed by introducing so-called " ‡ash orders" (see Skjeltorp et al (2011) for details), a practice that has been banned by the SEC in the meantime. Garvey and Wu (2010) provide more direct evidence by showing that geographical distance to the market center is negatively related to execution speed and positively related to transactions costs.…”
Section: Market Ordersmentioning
confidence: 99%
“…We observe a similar pattern when constructing the cycles for NASDAQ for the same time period. Due to capacity limitations we construct the make/take cycles for only 188 stocks in NASDAQ, seeSkjeltorp, Sojli, and Tham (2012) for more details on the stock selection procedure.Figure A1in the Appendix shows a similar pattern to the BX intraday cycles and the correlation between make and take cycles is 0.94. The NASDAQ cycles are shorter because there is much more quoting and trading activity at the NASDAQ.…”
mentioning
confidence: 99%