In this article, I study the differences in off-exchange trades reported between the NASDAQ and NYSE Trade Reporting Facility (TRF). I examine the differences in market quality and preferencing for trades reported in each TRF and show that trades reported in the NASDAQ TRF have both higher...

We explore the relation between limit order price clustering and price efficiency. We find that executed sell limit orders cluster more frequently on round increments than buy limit orders and that this asymmetry in clustering is consistent with the well documented asymmetry in price response to...