Quote-based competition and trade execution costs in NYSE-listed stocks
By H. Bessembinder. 2003
142 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/e3739f4498f75169881f38a9203164b036dce050
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Citations in the corpus
- Empirical evaluation of an automated intraday stock recommendation system incorporating both market data and textual news (2014, methodology): “After filtering out irregular data using the procedures described in [2], we calculated the momentary best bid and ask prices (also known as the NBBO—National Best Bid and Offer) over all reported exchanges.”
- Competition for Order Flow and Smart Order Routing Systems (2008, unknown): “4 Some studies document the frequency of trade-through in equity markets (e.g. Bessembinder (2003) )”
- Options and the Bubble (2006, unknown): “Following Bessembinder (2003) and others, we eliminate quotes associated with trading halts or designated order imbalances and we eliminate indicative quotes.”
- Trading Your Neighbor's Etfs: Competition or Fragmentation? (2001, unknown): “As suggested by Bessembinder (2003), we make no adjustment to the reported trade times (all results are qualitatively identical when we assume a five-second delay in trade reporting).”