Quote Stuffing

In this study we examine intense episodic spikes in quoting activity (frequently referred to as quote stuffing) on market conditions. We find that quote stuffing is pervasive and that over 74% of US exchange-listed securities experienced at least one episode during 2010. We also find that stocks exp...

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Bibliographic Details
Published in:Financial management 2016-09, Vol.45 (3), p.583-608
Main Authors: Egginton, Jared F., Van Ness, Bonnie F., Van Ness, Robert A.
Format: Article
Language:English
Subjects:
Average prices
Bats
Bid prices
Evaluation
Forecasts and trends
Limit orders
Liquidity
Market prices
Methods
Nasdaq Composite Index
Prices and rates
Securities trading
Standard deviation
Stock exchanges
Stock markets
Stock prices
Stocks
Trade
United States
Volatility
Working papers
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