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The impact of preferencing on execution quality
16 references·0 citing·37 second hop
The impact of preferencing on execution quality (2006)The impact of preferencing on execution q…Dimensions of execution quality: Recent evidence for US equity markets (2005)Dimensions of execution quali…Trade Execution Costs and Market Quality after Decimalization (2003)Trade Execution Costs and Mar…Quote-based competition and trade execution costs in NYSE-listed stocks (2003)Quote-based competition and t…Liquidity-Based Competition for Order Flow (2003)Liquidity-Based Competition f…Limit Orders and Volatility in a Hybrid Market: The Island Ecn (2002)Limit Orders and Volatility i…Competition on the Nasdaq and the Impact of Recent Market Reforms (2000)Competition on the Nasdaq and…Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison (1999)Trade Execution Costs on NASD…Third Market Broker-Dealers: Cost Competitors or Cream Skimmers? (1997)Third Market Broker-Dealers: …A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks (1997)A Comparison of Trade Executi…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow (1996)Cream-Skimming or Profit-Shar…Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence (1995)Market Making, the Tick Size,…Trading Mechanisms and the Components of the Bid-Ask Spread (1994)Trading Mechanisms and the Co…What's special about the specialist? (1992)What's special about the spec…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Inferring Trade Direction from Intraday Data (1991)Liquidity, Information, and Infrequently Traded Stocks (1996)Sixteenths: direct evidence on institutional execution costs (2001)Earnings expectations, investor trade size, and anomalous returns around earnings announcements (2005)Very fast money: High-frequency trading on the NASDAQ (2013)Price, trade size, and information in securities markets (1987)Price Discovery in Auction Markets: A Look Inside the Black Box (2000)Does Anonymity Matter in Electronic Limit Order Markets? (2007)Limited Attention and the Allocation of Effort in Securities Trading (2008)Information Effects on the Bid-Ask Spread (1983)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market (2001)A simulation analysis of the microstructure of double auction markets* (2002)Optimal Trading Strategy and Supply/Demand Dynamics (2005)The Cross-Section of Expected Stock Returns (1992)Presidential Address: Friction (2000)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Mean reversion in stock prices (1988)Recent trends in trading activity and market quality (2011)Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? (2014)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Inferring investor behavior: Evidence from TORQ data (2000)Price Discovery and Trading After Hours (2003)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Market structure, fragmentation, and market quality (2006)The effect of price tests on trader behavior and market quality: An analysis of Reg SHO (2007)Competing on Speed (2018)Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks (2002)An analysis of trade-size clustering and its relation to stealth trading☆ (2007)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1996Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow537 cited
  • 2003Trade Execution Costs and Market Quality after Decimalization512 cited
  • 1997A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks314 cited
  • 1999Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison263 cited
  • 1992What's special about the specialist?250 cited
  • 2003Liquidity-Based Competition for Order Flow230 cited
  • 2005Dimensions of execution quality: Recent evidence for US equity markets183 cited
  • 1994Trading Mechanisms and the Components of the Bid-Ask Spread177 cited
  • 1997Third Market Broker-Dealers: Cost Competitors or Cream Skimmers?172 cited
  • 2000Competition on the Nasdaq and the Impact of Recent Market Reforms167 cited
  • 2003Quote-based competition and trade execution costs in NYSE-listed stocks155 cited
  • 2002Limit Orders and Volatility in a Hybrid Market: The Island Ecn

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129 cited
  • 1995Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence125 cited
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