The Quality of ECN and Nasdaq Market Maker Quotes

By R. Huang. 2002

307 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/323991bcda311b5ea7214c5246fcc816da17606a

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Citations in the corpus

Island Goes Dark: Transparency, Fragmentation, and Regulation (2005, methodology): “Our analysis follows the information share approach of Hasbrouck (1995), Huang (2002), and others.”
Modelling and Measuring Price Discovery in Commodity Markets (2010, unknown): “Pric e discovery refers to the use of future prices for pricing cash market transactions (Workin g, 1948; Wiese, 1978; and Lake 1978). In general, price discovery is the process of uncov ering an asset’s full information or permanent value. The unobservable permanent price r eflects the fundamental ”
What Do Price Discovery Metrics Really Measure (2013, background): “…to price discovery of different stock exchanges or trading venues that have similar structure using cross-listed stocks (e.g., Hasbrouck, 1995; Huang, 2002; Harris et al., 2002; Eun and Sabherwal, 2003; Pascual et al., 2006; Frijns et al., 2010; Korczak and Phylaktis, 2010; Chen and Sub Choi,…”
Price Discovery and Trading After Hours (2003, methodology): “Because the number of trades per unit 17 Huang (2002) utilizes both the WPC and the `̀ information share'' derived by Hasbrouck (1995) to allocate price discovery across ECN and market-maker quote changes during the trading day.”
Competition among Trading Venues: Information and Trading on Electronic Communications Networks (2003, methodology): “Huang (2002) ¢nds that ECN quote updates are more informative than market-maker quote updates.”
Informed Trading in Stock and Option Markets (2004, methodology): “Booth et al. (2002) use the same technique to measure the price discovery by upstairs and downstairs markets in Helsinki Stock Exchange and Huang (2002) uses it to measure the price discovery in Nasdaq stocks by electronic communication networks and Nasdaq market makers.”
Trading Rules, Competition for Order Flow and Market Fragmentation (2015, background): “Similarly, Barclay, Hendershott, and McCormick (2003) and Huang (2002) investigate competition between Nasdaq market makers and electronic communication networks, which offer advantages of anonymity and execution speed.”
Price discovery and common factor models (2002, methodology): “The lower and upper bounds of the Island (an ECN) for Yahoo, the last company in Table 5a of Huang (2002), are 79.5% and 30.6%, respectively, for the month of January 1998.”
Options and the Bubble (2006, unknown): “7 See also Huang (2002) 8 We use end-of-minute quotes rather than finer time increments to minimize issues of non-synchroneity.”
A Structural Analysis of Price Discovery Measures (2010, background): “Another way to derive (24) is to first note thatD(L) = Ψ(L)D0 gives the relationship between the SMA polynomial matrix D(L) from (13) and the reduced form MA polynomial matrix Ψ(L) from (1).”