Equity options exchanges in the United States use one of two models to execute marketable orders: the maker-taker model or the payment for order flow (PFOF) model. Exchanges utilizing the maker-taker model charge liquidity demanders a taker fee to access their liquidity. Exchanges utilizing the...

We examine the changes in order flow on NASDAQ from 1993 through 2010. We find that while volume and the number of trades are increasing for NASDAQ-listed securities, the percentage of volume that executes on NASDAQ declines from almost 100% in the 1990's to less than 40% in 2010. We examine the...

This paper examines college football point spreads. We find that the betting spread is a good predictor of outcome for college football games during the regular season, but not for bowl games. Our sample of betting line spreads cluster around 3 points (field goal) and 7 points (touchdown/extra...

We examine the relation between the monthly reported short interest (the number of shares that are in outstanding short positions) and short selling. We aggregate transaction level short selling into monthly short turnover (a measure of the shorting flow) and find that short turnover and short...

We investigate the effect of expected short sales and short sales surprises on abnormal securities returns. We then examine the impact of short sales constraints on the informational efficiency of the equity market based on a major hypothesis of Diamond and Verrecchia (1987). We conduct a series...

Island is the largest electronic communications network in the US. On March 18th 2002, it began reporting trades to the Cincinnati Stock Exchange (CSE) to reduce costs. We use the information generated following this trade reporting change to analyze differences in trading characteristics and...

We examine the effects of an order cancellation fee on limit order flow and execution quality in the PHLX options market. The cancellation fee on professional order flow is effective in reducing the rate at which limit orders are canceled. While the cancellation fee discourages the submission of...

We study odd-lot trades in U.S. Equities. NYSE- and NASDAQ-listed securities trade and report on various markets, and in this paper, we examine odd-lot activity in these venues. We also look at odd-lot trading on December 9, 2013, when odd-lot trades began reporting to the consolidated public...

1-share trades are the most common odd lot trade size, accounting for 9.62% of all odd lot transactions and 3.65% of all trades on NASDAQ in 2012. While 50.41% of 1-share trades result from broken orders, 34.89% of 1-share trades are intentional. We provide evidence that traders use 1-share...

This paper investigates the effects of an increase in tick size on order and trading flow across market fee venues. Using the pilot firms in the SEC's Tick Size Pilot Program, we document trade and order volume declines significantly on maker-taker fee venues after the tick size implementation....