This paper investigates fractional share trading. We develop a methodology for identifying fractional share trades in the Consolidated Transaction Reporting System. Our approach uses a latency-based digital footprint to estimate fractional share trades executed by Robinhood and Drivewealth, the...

Beginning in early 2021, surging volume in Berkshire Hathaway A (BRK.A) has captured the attention of market watchers. Averaging volume of just 375 shares a day over the previous decade, the market’s most expensive stock routinely traded additional volume equivalent to more than a billion...

This document contains supporting materials for the article "How Rigged Are Stock Markets? Evidence from Microsecond Timestamps" by Robert P. Bartlett, III and Justin McCrary.The paper to which this Appendix applies is available at the following URL: "https://ssrn.com/abstract=2812123"...

Prevailing research posits that liquidity providers bypass long queue lines on exchanges by offering liquidity in dark venues with de minimis sub-penny price improvement, thus exploiting an exception to the penny quote rule. We show that (a) the SEC enforces the quote rule to prevent sub-penny...

Using data from the 2016-2018 tick size pilot study, we examine the efficacy of using wider tick sizes to subsidize market-making in small capitalization stocks. We demonstrate that realized spreads decay quickly within the initial microseconds of a trade. The effect reduces the subsidy offered...

Using new data from the two U.S. securities information processors (SIPs) between August 6, 2015 and June 30, 2016, we examine claims that high-frequency trading (HFT) firms use direct feeds to exploit traders who rely on SIP prices. Across $3.7 trillion of trades, the SIPs report quote updates...

Using over eight trillion observations of market data, we use a regression discontinuity design to analyze the effect of increasing the minimum price variation (MPV) for quoting equity securities in light of recent proposals to increase the MPV from $0.01 to $0.05. We show that a larger MPV...

We use new timestamp data from the two Securities Information Processors (SIPs) to examine SIP reporting latencies for quote and trade reports. Reporting latencies average 1.13 milliseconds for quotes and 22.84 milliseconds for trades. Despite these latencies, liquidity-taking orders gain on...