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q-fin.TR2019★ 1 cited
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…
q-fin.TR2019★ 12 cited
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…