This paper provides evidence on the benefits of faster proprietary data feeds from stock exchanges over the regulated “public” consolidated data feeds. We measure and compare the National Best Bid and Offer (NBBO) prices in each data feed at the same data center. Price dislocations between...

This paper combines daily non-public data on buy and sell volume by institutions from 2003 through 2005 for NYSE-listed stocks with all news announcements from Reuters. Natural language processing categorizes the sentiment associated with each news story. We use institutional order flow (buy...