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Locked and crossed markets on NASDAQ and the NYSE

Shkilko, Andriy V.; Ness, Bonnie F. Van; Ness, Robert A. Van - In: Journal of Financial Markets 11 (2008) 3, pp. 308-337

The NBBO for an average active stock is non-positive (locked or crossed) 10.58% and 4.05% of the time on, respectively, the NASDAQ and the NYSE inter-markets. Locks and crosses are frequent fleeting events that usually accompany significant price changes. Non-positive NBBOs arise because of (i)...

Persistent link: https://www.econbiz.de/10005319999

Intraday variation in trading costs : evidence from the TSPP

Cox, Justin; Van Ness, Bonnie F.; Van Ness, Robert A. - In: The journal of financial research : the journal of the … 47 (2024) 4, pp. 1277-1292

Persistent link: https://www.econbiz.de/10015166486

1-share orders and trades

Davis, Ryan L.; Roseman, Brian S.; Van Ness, Bonnie F.; … - In: Journal of banking & finance 75 (2017), pp. 109-117

Persistent link: https://www.econbiz.de/10011742155

Dealers and changing obligations : the case of stub quoting

Egginton, Jared F.; Van Ness, Bonnie F.; Van Ness, Robert A. - In: Review of quantitative finance and accounting 47 (2016) 4, pp. 919-941

Persistent link: https://www.econbiz.de/10011595757

Are all odd-lots the same? : odd-lot transactions by order submission and trader type

Johnson, B. Hardy, IV; Van Ness, Bonnie F.; Van Ness, … - In: Journal of banking & finance 79 (2017), pp. 1-11

Persistent link: https://www.econbiz.de/10011815130

The role of HFTs in order flow toxicity and stock price variance, and predicting changes in HFTs' liquidity provisions

Van Ness, Bonnie F.; Van Ness, Robert A.; Yildiz, Serhat - In: Journal of economics and finance 41 (2017) 4, pp. 739-762

Persistent link: https://www.econbiz.de/10011802216

Odd-lot trading in U.S. equities

Roseman, Brian S.; Van Ness, Bonnie F.; Van Ness, Robert A. - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 125-133

Persistent link: https://www.econbiz.de/10012035003

VPIN, liquidity, and return volatility in the US equity markets

Yildiz, Serhat; Van Ness, Bonnie F.; Van Ness, Robert A. - In: Global finance journal 45 (2020)

Persistent link: https://www.econbiz.de/10012503390

The predictive power of college football spreads : regular season versus bowl games

Cox, Justin; Schwartz, Adam L.; Van Ness, Bonnie F.; … - In: Journal of sports economics 22 (2021) 3, pp. 251-273

Persistent link: https://www.econbiz.de/10012485591

Private information in trades, R2, and large stock price movements

Van Ness, Bonnie F.; Van Ness, Robert A.; Yildiz, Serhat - In: Journal of banking & finance 131 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013365947