Order characteristics and stock price evolution: an application to program trading
Article Abstract:
An econometric analysis of the information content of automated orders arriving at the New York Stock Exchange indicates that orders have information which is useful in predicting stock returns beyond the information contained in the reported trades. Results also indicate that program and index-arbitrage orders hold information beyond that available from the futures return and basis, which suggests that these orders do not merely passively convey common-factor information. Non-program, program and index-arbitrage orders were found to have roughly similar price impacts.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1996
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An empirical analysis of NYSE specialist trading
Article Abstract:
Dealer tradings conducted at the New York Stock Exchange (NYSE) by market specialists were studied in terms of their depth and determinants. Specialist dealer trading not only differs across stocks but also has an inversely proportional relationship with trading volume and off-exchange competition proxies. Over time, market specialists are more likely to assume the role of sellers when dealing with long inventory positions of an individual stock.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1998
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Common factors in prices, order flows, and liquidity
Article Abstract:
Research is presented describing the study of commonality in determining price levels and provision for liquidity in equity markets.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2001
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