The life of U’s: Order revisions on NASDAQ

Nikolsko‐Rzhevska, Olena; Nikolsko-Rzhevskyy, Alex; Black, Jeffrey R.

doi:10.1016/j.jbankfin.2019.105724

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Larry Tabb1

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Cited by 15 publications

(1 citation statement)

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“…We characterize a broader set of drivers of OTTRs, including fragmentation, monitoring costs, and technological advances, which we argue are the most salient drivers of the growth in OTTRs. Further, we build on studies of cancellations (Nikolsko-Rzhevska, Nikolsko-Rzhevskyy, & Black, 2020;Jain & Jordan, 2017), but we focus on measuring messaging activity overall, as modern market making is manifested through high overall OTTR levels.…”

Section: Larry Tabbmentioning

confidence: 99%

Algos gone wild: What drives the extreme order cancellation rates in modern markets?

Khomyn

Putniņš

2021

Journal of Banking & Finance

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Section: Larry Tabbmentioning

confidence: 99%

Algos gone wild: What drives the extreme order cancellation rates in modern markets?

Khomyn

Putniņš

2021

Journal of Banking & Finance

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Cross‐Asset Tandem Trading and Extraordinary Volatility

Garrison,

Jain,

Paddrik

2024

Journal of Futures Markets

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Cross‐asset order flow provides an incremental and novel nonlinear price discovery channel. Structural vector autoregressions of synchronized intraday message data reveal distinct patterns in the comovement of order flow and its influence on returns and volatility. While cross‐market order flow usually reconciles prices through small‐stakes arbitrage in periods of low volatility and comovement during medium volatility associated with information arrival, it can exacerbate price dislocation from fundamental values during extraordinary volatility. While applying market‐wide circuit breakers (MWCB) mitigates the extreme negative spillovers by jointly halting markets, we identify room for further harmonization during the MWCB market reopening process.

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