Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 3 of 3 for “"Quote Stuffing"”.
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Three Essays on Quote Stuffing, Dealer Liquidity and Stub Quoting
This dissertation consists of three essays on quote stuffing, dealer provided liquidity, and stub quoting. The first essay examines the impact that intense episodic spikes in quoting activity (frequently referred to as "quote stuffing") has on market conditions. We find that quote stuffing is …
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Order Execution Quality in Equity Options Markets
… In Part 3, we examine the impact of option quote stuffing and trading spikes on market quality. We find that quote stuffing and trading spikes in U.S. equity options are more frequently observed on exchanges using price-time priority, relative to exchanges using pro-rata priority. Our …
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Three essays on market transparency
… bases derived from it such as TAQ (Trades and Quotes). The essay finds the median fraction of missing odd lot trades per stock is 24% but some stocks have more than 60 % missing trades. Odd lot trades contribute 35% of price discovery, consistent with informed traders splitting orders into …