What Is a Quote?

Maureen O’Hara

39 citations0/0 files storedThe Journal of Trading

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Financial Markets and Investment Strategies Finance, Markets, and Regulation Securities Regulation and Market Practices

Abstract

Technological advances that give rise to myriad new trading strategies and practices also have important implications for basic concepts such as quotes. Because quotes determine the NBBO (the National Best Bid or Offer), the issue of what is and is not a quote is important. I argue that there are now a variety of circumstances in which what is or should be a quote is not clear. These circumstances arise because in electronic markets both quotes and orders can be moved instantaneously, setting the stage for potential abuses. I provide several examples to illustrate these problems and offer some thoughts on the question: what is a quote? TOPICS:Exchanges/markets/clearinghouses, big data/machine learning

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References

2008Technology and liquidity provision: The blurring of traditional definitions 2007Order dynamics: Recent evidence from the NYSE

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2014High-Frequency Trading and Its Impact on Markets 2014The Manipulator's Poker: Order-Based Manipulation in the Chinese Stock Market 2016Dark Data. Some Methodological Issues in Finance

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