Chung, Kee H.; Chuwonganant, Chairat; Jiang, Jing - In: Journal of Banking & Finance 32 (2008) 11, pp. 2390-2400
Liquidity providers on the NYSE make faster quote adjustments towards equilibrium spreads and depths than they do on NASDAQ. Liquidity providers in both markets make faster spread and depth adjustments for stocks with more frequent trading, greater return volatility, higher prices, smaller...
