Why do brokers charge per-share commissions to institutional traders? What determines the commission charge? We examine commissions and order flow for a sample of institutional orders and find that most per-share commissions are concentrated at only a few price points, primarily 5 and 6 cents...

Selected Conference Proceedings

Bayes linear methodology provides a quantitative structure for expressing our beliefs and systematic methods for revising these beliefs given observational data. Particular emphasis is placed upon interpretation of and diagnostics for the specification. The approach is similar in spirit to the...

The use of computers to execute trades, often with very low latency, has increased over time, resulting in a variety of computer algorithms executing electronically targeted trading strategies at high speed. We describe the evolution of increasingly fast automated trading over the past decade...

We examine market making behavior of dealers for 55,988 corporate bonds, many of which trade infrequently. Dealers have a substantially higher propensity to offset trades within the same day rather than committing capital for longer periods for riskier and less actively traded bonds. Dealers'...

We use limit order data provided by the New York Stock Exchange (NYSE) to investigate the impact of reducing the minimum tick size on the liquidity of the market. Specifically, we analyze both spreads and depths (quoted and on the limit order book) for periods before and after the NYSE's change...

On October 27, 1997, circuit breakers caused the New York Stock Exchange (NYSE) to halt trading for the first time in history as the Dow Jones Industrial Average (DJIA) lost 554 points. The next day, the NYSE traded a record 1.2 billion shares as the DJIA increased by 337 points, the largest...

This paper studies the link between secondary market liquidity for a corporate bond and the bond's yield spread at issuance. Using ex-ante measures of expected liquidity at the time of issuance, based on the characteristics of the underwriting syndicate, we find an economically large impact of...