This paper investigates fractional share trading. We develop a methodology for identifying fractional share trades in the Consolidated Transaction Reporting System. Our approach uses a latency-based digital footprint to estimate fractional share trades executed by Robinhood and Drivewealth, the...

Using over eight trillion observations of market data, we use a regression discontinuity design to analyze the effect of increasing the minimum price variation (MPV) for quoting equity securities in light of recent proposals to increase the MPV from $0.01 to $0.05. We show that a larger MPV...

We use new timestamp data from the two Securities Information Processors (SIPs) to examine SIP reporting latencies for quote and trade reports. Reporting latencies average 1.13 milliseconds for quotes and 22.84 milliseconds for trades. Despite these latencies, liquidity-taking orders gain on...

Using new data from the two U.S. securities information processors (SIPs) between August 6, 2015 and June 30, 2016, we examine claims that high-frequency trading (HFT) firms use direct feeds to exploit traders who rely on SIP prices. Across $3.7 trillion of trades, the SIPs report quote updates...