We analyze both short- and long-term effects of multimarket trading by examining the entries of multiple markets in three actively traded Exchange Traded Funds (DIA, QQQ, and SPY). Using a time series analysis, we follow the market evolution of these ETFs with regard to order flow fragmentation,...

Archipelago began reporting trades and quotes to the Pacific Stock Exchange in 2002 for NYSE-listed securities and in 2003 for NASDAQ-listed securities. These events mark the time that Archipelago began migrating stocks from its ECN platform to the exchange platform, thereby becoming a...

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...

Ellis, Michaely, and O'Hara (2000) find that trade classification rules have limited success in classifying trades executed inside the quotes. We reconfirm this result and propose an alternative algorithm to improve the classification accuracy for trades inside the quotes. This alternative...

On March 18th 2002, the ECN Island, in a cost saving move, began reporting trades to the Cincinnati Stock Exchange (CSE). We use this trade reporting change to analyze differences in trading costs between Island and Nasdaq. We analyze trade-based execution costs for Nasdaq trades and Island...