63 citations · 259 across the 20 of their papers we have counts for
3 papers · 1 filter
Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities
John H. Ring, Colin M. Van Oort, David R. Dewhurst +3
Using the most comprehensive, commercially-available dataset of trading activity in U.S. equity markets, we catalog and analyze quote dislocations between the SIP National Best Bid…
Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30
Brian F. Tivnan, David Rushing Dewhurst, Colin M. Van Oort +8
Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in 2016 from the…
Selection mechanisms affect volatility in evolving markets
David Rushing Dewhurst, Michael Vincent Arnold, Colin Michael Van Oort
Financial asset markets are sociotechnical systems whose constituent agents are subject to evolutionary pressure as unprofitable agents exit the marketplace and more profitable age…