The trading profits of SOES bandits
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Harris, Jeffrey H. & Schultz, Paul H., 1997. "The importance of firm quotes and rapid executions: Evidence from the January 1994 SOES rules change," Journal of Financial Economics, Elsevier, vol. 45(1), pages 135-166, July.
- Battalio, Robert H. & Hatch, Brian & Jennings, Robert, 1997. "SOES Trading and Market Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(2), pages 225-238, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bacidore, Jeffrey M., 2001. "Decimalization, adverse selection, and market maker rents," Journal of Banking & Finance, Elsevier, vol. 25(5), pages 829-855, May.
- Battalio, Robert H. & Mendenhall, Richard R., 2005. "Earnings expectations, investor trade size, and anomalous returns around earnings announcements," Journal of Financial Economics, Elsevier, vol. 77(2), pages 289-319, August.
- Loughran, Tim, 2007. "Geographic dissemination of information," Journal of Corporate Finance, Elsevier, vol. 13(5), pages 675-694, December.
- Kandel, Eugene & M. Marx, Leslie, 1999. "Odd-eighth avoidance as a defense against SOES bandits," Journal of Financial Economics, Elsevier, vol. 51(1), pages 85-102, January.
- Garvey, Ryan & Murphy, Anthony, 2005. "Entry, exit and trading profits: A look at the trading strategies of a proprietary trading team," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 629-649, December.
- Benston, George J. & Wood, Robert A., 2008. "Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 17-40, January.
- Dmitriy Muravyev & Neil D Pearson & Stijn Van Nieuwerburgh, 2020. "Options Trading Costs Are Lower than You Think," The Review of Financial Studies, Society for Financial Studies, vol. 33(11), pages 4973-5014.
- Chan, Kalok & Fong, Wai-Ming, 2000. "Trade size, order imbalance, and the volatility-volume relation," Journal of Financial Economics, Elsevier, vol. 57(2), pages 247-273, August.
- Boulatov, Alex & Hatch, Brian C. & Johnson, Shane A. & Lei, Adam Y.C., 2009. "Dealer attention, the speed of quote adjustment to information, and net dealer revenue," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1531-1542, August.
- Xing, Xuejing, 2004. "A note on the time-series relationship between market industry concentration and market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 105-115, April.
- Cheng, Louis & Firth, Michael & Leung, T.Y. & Rui, Oliver, 2006. "The effects of insider trading on liquidity," Pacific-Basin Finance Journal, Elsevier, vol. 14(5), pages 467-483, November.
- Fong, Kingsley & Zurbruegg, Ralf, 2003. "How much do locals contribute to the price discovery process?," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 305-320, May.
- Kaul, Aditya & Mehrotra, Vikas, 2007. "The role of trades in price convergence: A study of dual-listed Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 196-219, March.
- Roger D. Huang, 2002. "The Quality of ECN and Nasdaq Market Maker Quotes," Journal of Finance, American Finance Association, vol. 57(3), pages 1285-1319, June.
- Thierry Foucalt & Ailsa Roell & Patrik Sandas, "undated".
"Imperfect Market Monitoring and SOES Trading,"
Rodney L. White Center for Financial Research Working Papers
15-99, Wharton School Rodney L. White Center for Financial Research.
- Foucault, Thierry & Röell, Ailsa A & Sandås, Patrik, 1999. "Imperfect Market Monitoring and SOES Trading," CEPR Discussion Papers 2265, C.E.P.R. Discussion Papers.
- FOUCAULT, Thierry & RÖELL, Ailsa & SANDAS, Patrik, 1999. "Imperfect Market Monitoring and SOES Trading," HEC Research Papers Series 671, HEC Paris.
- Thierry Foucault & Ailsa Roell & Patrik Sandas, 2011. "Imperfect Market Monitoring and SOES Trading," Working Papers hal-00607040, HAL.
- Erik Theissen, 2003.
"Trader Anonymity, Price Formation and Liquidity,"
Review of Finance, European Finance Association, vol. 7(1), pages 1-26.
- Theissen, Erik, 2002. "Trader Anonymity, Price Formation and Liquidity," Bonn Econ Discussion Papers 20/2002, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2020. "Does proprietary day trading provide liquidity at a cost to investors?," International Review of Financial Analysis, Elsevier, vol. 68(C).
- Thierry Foucault & Ailsa Röell & Patrik Sandås, 2003.
"Market Making with Costly Monitoring: An Analysis of the SOES Controversy,"
The Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 345-384.
- FOUCAULT, Thierry & RÖELL, Ailsa & SANDAS, Patrik, 2000. "Market Making with Costly Monitoring : An Analysis of the SOES Controversy," HEC Research Papers Series 702, HEC Paris.
- Thierry Foucault & Ailsa Röell & Patrik Sandas, 2000. "Market Making with Costly Monitoring: An Analysis of the SOES Controversy," Working Papers hal-00601494, HAL.
- Thierry Foucault & Ailsa Roell & Patrik Sandas, 2003. "Market Making with Costly Monitoring: An Analysis of the SOES Controversy," Post-Print hal-00459778, HAL.
- Liao, Huei-Chu & Lee, Yi-Huey & Suen, Yu-Bo, 2008. "Electronic trading system and returns volatility in the oil futures market," Energy Economics, Elsevier, vol. 30(5), pages 2636-2644, September.
- Aggarwal, Reena & Angel, James J., 1999.
"The rise and fall of the Amex Emerging Company Marketplace,"
Journal of Financial Economics, Elsevier, vol. 52(2), pages 257-289, May.
- Reena Aggarwal & James J. Angel, "undated". "The Rise and Fall of the AMEX Emerging Company Marketplace," Working Papers _002, Georgetown School of Business.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jfinec:v:50:y:1998:i:1:p:39-62. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505576 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.