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Market microstructure research databases : history and projections

Wood, Robert A. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 140-145

Persistent link: https://www.econbiz.de/10001469554

An investigation of transactions data for NYSE

Wood, Robert A. - In: The journal of finance : the journal of the American … 40 (1985) 3, pp. 723-739

Persistent link: https://www.econbiz.de/10001006730

An analysis of intraday patterns in bid ask spreads for NYSE stocks

McInish, Thomas H. - In: The journal of finance : the journal of the American … 47 (1992) 2, pp. 753-764

Persistent link: https://www.econbiz.de/10001128122

Cointegration, error correction, and price discovery on informationally linked security markets

Harris, Frederick H. deB.; McInish, Thomas H.; … - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 4, pp. 563-579

Persistent link: https://www.econbiz.de/10001218096

Autocorrelation of daily index returns : intraday-to-intraday versus close-to-close intervals

McInish, Thomas H. - In: Journal of banking & finance 15 (1991) 1, pp. 193-206

Persistent link: https://www.econbiz.de/10001100942

International evidence on institutional trading behavior and price impact

Chiyachantana, Chiraphol N.; Jain, Pankaj K.; Jiang, … - In: The journal of finance : the journal of the American … 59 (2004) 2, pp. 869-898

Persistent link: https://www.econbiz.de/10002017411

The flash crash : trading aggressiveness, liquidity supply, and the impact of intermarket sweep orders

McInish, Thomas H.; Upson, James; Wood, Robert A. - In: The financial review : the official publication of the … 49 (2014) 3, pp. 481-509

Persistent link: https://www.econbiz.de/10010401378

The changing state of the NYSE market : new common factors, players, and impulse responses

Chakravarty, Sugato; Harris, Frederick H. deB.; Wood, … - In: The journal of trading 4 (2009) 1, pp. 68-94

Persistent link: https://www.econbiz.de/10003810727

The Flash Crash : Trading Aggressiveness, Liquidity Supply, and the Impact of Intermarket Sweep Orders

Wood, Robert A. - 2013

During the Flash Crash on May 6, 2010, a short period of high stock market volatility, some stock prices declined to $0.01, while others increased to $100,000. Examining Intermarket Sweep Orders (ISO) before, on, and after May 6, we find that ISO use is substantially higher on May 6. For those...

Persistent link: https://www.econbiz.de/10013094620

Fragmentation and Price Discovery : A Comparison of Reg NMS and MiFID1

Harris, Frederick H. deB. - 2019

We study NYSE, NASDAQ, and ARCA prices for DJIA stocks and LSE, Xetra, and Chi-X prices for five leading British equities. MiFID1 hastened fragmentation but accomplished the intended cointegration of European equity markets that had previously been segmented. Initially, price discovery in London...

Persistent link: https://www.econbiz.de/10012904798