The SEC is considering the imposition of a trade-at rule which requires venues not at the inside to either significantly improve on price or route to a venue that is quoting at the inside. The rule is expected to greatly reduce the internalization of order flow either directly or through dark...

Drug discovery is the process of designing compounds that have desirable properties, such as activity and non-toxicity. Molecule classification techniques are used along this process to predict the properties of the compounds in order to expedite their testing. Ideally, the classification rules...

We study changes in market quality variables associated with nine modifications to the New York State Securities Transaction Tax (STT) between 1932 and 1981. We find that when there is an increase in the level of an STT, individual stock volatility increases, bid-ask spreads widen, price impacts...

In this paper, we apply the method for removing the upward bias in returns in equally-weighted return indexes developed by Fisher, Weaver, and Webb (2010) to real estate investment trust (REIT) stocks in the US. While we find significant bias in this index, two trends are evident: first, there...

The primary difference between continuous market mechanisms is in the priority rules that they use to match buyers and sellers. In most markets price takes precedence, but if two or more parties are willing to pay the same price, then various markets use different secondary priority rules to...

We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades. In contrast to theories of STT imposition as a means to reduce...

We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades. In contrast to theories of STT imposition as a means to reduce...