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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

Competition, fragmentation, and market quality

McInish, Thomas H. - In: The industrial organization and regulation of the …, (pp. 63-78). 1996

Persistent link: https://www.econbiz.de/10001296747

A transactions data analysis of the variability of common stock returns during 1980 - 1984

McInish, Thomas H. - In: Journal of banking & finance 14 (1990) 1, pp. 99-112

Persistent link: https://www.econbiz.de/10001088203

An analysis of transactions data for the Toronto Stock Exchange : return patterns and end-of-the-day effect

McInish, Thomas H. - In: Journal of banking & finance 14 (1990) 2, pp. 441-458

Persistent link: https://www.econbiz.de/10001092355

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

Security price adjustment across exchanges : an investigation of common factor components for Dow stocks

Harris, Frederick H. deB.; McInish, Thomas H.; Wood, … - In: Journal of financial markets 5 (2002) 3, pp. 277-308

Persistent link: https://www.econbiz.de/10001706035

Common factor components versus information shares: a reply

Harris, Frederick H. deB.; McInish, Thomas H.; Wood, … - In: Journal of financial markets 5 (2002) 3, pp. 341-348

Persistent link: https://www.econbiz.de/10001706070

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 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