2 papers
q-fin.TR2019
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…
q-fin.TR2018
Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets
Brian F. Tivnan, David Slater, James R. Thompson +7
Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor, the data feed consolidating all trades and quotes…