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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

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

Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s

Benston, George J.; Wood, Robert A. - In: Journal of empirical finance 15 (2008) 1, pp. 17-40

Persistent link: https://www.econbiz.de/10003692963

Trading volume shares and market quality : pre- and post- zero commissions

Jain, Pankaj K.; Mishra, Suchismita; O'Donoghue, Shawn M.; … - In: Journal of empirical finance 79 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10015179727

The role of fleeting orders on option expiration days

Figueiredo, Antonio; Jain, Pankaj K.; Mishra, Suchismita - In: Quantitative finance 23 (2023) 10, pp. 1511-1529

Persistent link: https://www.econbiz.de/10014419175

An examination of the NYSE’s retail liquidity program

Jain, Pankaj K.; Linna, Jared A.; McInish, Thomas H. - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 367-373

Persistent link: https://www.econbiz.de/10012655493

Cross-asset tandem trading and extraordinary volatility

Garrison, Robert; Jain, Pankaj K.; Paddrik, Mark - In: The journal of futures markets 44 (2024) 9, pp. 1508-1542

Persistent link: https://www.econbiz.de/10015110684

Determinants of commodity market liquidity

Jain, Pankaj K.; Kayhan, Ayla; Onur, Esen - In: The financial review : the official publication of the … 59 (2024) 1, pp. 9-30

Persistent link: https://www.econbiz.de/10014483130

Stealth-trading: which traders' trades move stock prices?

Chakravarty, Sugato - In: Journal of financial economics 61 (2001) 2, pp. 289-307

Persistent link: https://www.econbiz.de/10001592674

The Information Content of Retail Order Flow : Evidence from Fragmented Markets

Chakrabarty, Bidisha; Cox, Justin; Upson, James - 2023

We examine the information content of retail order flow relative to dark institutional and lit markets. We use multiple sources of retail order identification and account for the fact that market opacity affects order routing choices of both institutions and the brokers who sell retail orders....

Persistent link: https://www.econbiz.de/10014354310