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...

We examine the performance of three spread decomposition models which provide estimates of the inventory holding component of the bid-ask spread: the Stoll (1989), Huang and Stoll (1997), and Bollen, Smith, and Whaley (2004) models. As a benchmark for the analysis, we use the order imbalance...

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...

We document a two-fold increase in limit order cancellation activity over the last decade, and study the determinants of cancellations and the change in cancellation activity through time. We also examine the impact of order cancellation on market quality. We use an instrumental variable...

This study examines relations between high frequency trading, order flow toxicity, stock price volatility during normal and high order flow toxicity periods, and predictability of changes in high frequency traders' liquidity supply and demand. By employing Volume-synchronized probability of...

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...

Using a sample of NYSE firms from the first quarter of 2012, we show that the NBBO Depth is negatively affected by quote competition between exchanges and by excess Algorithmic Trading (AT) activity, but positively impacted by volume fragmentation. Trade execution quality also decreases with...