Shkilko, Andriy V.; Ness, Bonnie F. Van; Ness, Robert A. Van - In: Journal of Financial Markets 11 (2008) 3, pp. 308-337
The NBBO for an average active stock is non-positive (locked or crossed) 10.58% and 4.05% of the time on, respectively, the NASDAQ and the NYSE inter-markets. Locks and crosses are frequent fleeting events that usually accompany significant price changes. Non-positive NBBOs arise because of (i)...
