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 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...

Using limit order data provided by the NYSE, we investigate the impact of reducing the minimum tick size on the liquidity of the market. While both spreads and depths (quoted and on the limit order book) declined after the NYSE's change from eighths to sixteenths, depth declined throughout the...

This study explores the integration of the markets for NYSE-listed stocks. Although the NYSE bid or offer is part of the best displayed intermarket quote roughly ninety percent of the time, there is some evidence that non-NYSE markets do on occasion contribute to price discovery. Actual...

The purpose of this paper is to compare execution prices of NYSE-listed stocks on the NYSE and on non-NYSE markets. The first conclusion of this comparison is that most of the time the NYSE had the best quote. This result does not necessarily imply that execution prices on the NYSE are better...

The goal of this paper is to examine the impact of the 1975 Congressional mandate to integrate the trading of NYSE-listed stocks. The conclusions are: Most of the time, the NYSE quote matches or determines the best displayed quote, and the NYSE is the most frequent initiator of quote changes....

The goal of this paper is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE listed stocks. The conclusions are: Most of the time, the NYSE quote matches or determines the best displayed quote, and the NYSE is the most frequent initiator of quote changes....

This paper reports the results of a unique experiment designed to assess the impact of last-sale trade reporting on the liquidity of BBB corporate bonds. We find that increased transparency has either a neutral or positive effect on market liquidity depending on trade size. Measures of trading...