Battalio, Robert H.; Hatch, Brian; Jennings, Robert - In: Journal of Financial and Quantitative Analysis 32 (1997) 02, pp. 225-238
The National Association of Security Dealers alleges that professional-trader use of the Small Order Execution System (SOES) causes greater security price volatility. We document bidirectional Granger causality between a proxy for professional SOES trading (the frequency of maximum-sized SOES...
