Toward a National Market System for U.S. Exchange–listed Equity Options
By Robert Battalio, Brian C. Hatch, R. Jennings. 2004
110 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/ce5808b8c696373375f244617ab2da93f4829712
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Albert J. Menkveld
- Avanidhar Subrahmanyam
- Charles M. Jones
- Terrence Hendershott
- Craig W. Holden
- Thierry Foucault
- Stacey Jacobsen
- Ruslan Goyenko
Citations in the corpus
- Gambling Preference and the New Year Effect of Assets with Lottery Features (2012, methodology): “Following (Battalio, Hatch, and Jennings 2004), we use the group with 1-10 contracts per transaction, which we refer to as small customers, as a proxy for retail orders.”
- Competition for Order Flow and Smart Order Routing Systems (2008, background): “4 Trade-throughs in the U.S. securities markets are documented in Bessembinder (2003), Battalio et al. (2004), and Hendershott and Jones (2005a).”
- Is There Price Discovery in Equity Options (2013, background): “Bhattacharya (1987), who examines the findings of Manaster and Rendleman (1982), does not rely on a specific econometric model and is the closest study to ours.”
- The Empirical Analysis of Liquidity (2014, background): “Battalio et al. [2004] examine the impact of an impending SEC plan to electronically link all of the U.”
- Does Option Trading Convey Stock Price Information (2014, methodology): “Most studies use data prior to 2000 when the options market in the United States was not yet a consolidated national market (see Battalio, Hatch, and Jennings, 2004).”
- Stealth Trading in Options Markets (2007, background): “Separately, in their analysis of the National Market System in options markets, Battalio, Hatch, and Jennings (2004) report a tradethrough rate of 4.39% for retail orders in options markets in June 2000. in the sample.”
- Island Goes Dark: Transparency, Fragmentation, and Regulation (2005, background): “Recent examples include the Nasdaq order handling rules [Barclay et al. (1999)] and the cross-listing of equity options [de Fontnouvelle, Fishe, and Harris (2003), Battalio, Hatch, and Jennings (2004) ].”
- Illiquidity Premia in the Equity Options Market (2018, background): “Jameson and Wilhelm (1992), Green and Figlewski (1999), and Battalio and Schultz (2011) argue convincingly that inventory costs and risks are much more serious for option market makers than for liquidity providers in stock markets, due to hedging needs, model risk, and uncertain holding periods. In ”