Quote Stuffing

Jared F. Egginton; Bonnie F. Van Ness; Robert A. Van Ness

doi:10.1111/fima.12126

Quote Stuffing

Jared F. Egginton, Bonnie F. Van Ness, Robert A. Van Ness

Research output: Contribution to journal › Article › peer-review

46 Scopus citations

Abstract

In this study we examine intense episodic spikes in quoting activity (frequently referred to as quote stuffing) on market conditions. We find that quote stuffing is pervasive and that over 74% of US exchange-listed securities experienced at least one episode during 2010. We also find that stocks experience decreased liquidity, higher trading costs, and increased short-term volatility during periods of intense quoting activity. We find that most quote-stuffing events occur on the NYSE, ARCA, NASDAQ, and BATS and that during these quote-stuffing events, the number of new orders and canceled orders increases substantially while the order size and order duration decrease .

Original language	American English
Journal	Financial Management
Volume	45
Issue number	3
DOIs	https://doi.org/10.1111/fima.12126
State	Published - 2016
Externally published	Yes

EGS Disciplines

Finance and Financial Management

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10.1111/fima.12126License: Unspecified

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@article{d40e46b01ae8413585cfc241a3c40fae,

title = "Quote Stuffing",

abstract = " In this study we examine intense episodic spikes in quoting activity (frequently referred to as quote stuffing) on market conditions. We find that quote stuffing is pervasive and that over 74% of US exchange-listed securities experienced at least one episode during 2010. We also find that stocks experience decreased liquidity, higher trading costs, and increased short-term volatility during periods of intense quoting activity. We find that most quote-stuffing events occur on the NYSE, ARCA, NASDAQ, and BATS and that during these quote-stuffing events, the number of new orders and canceled orders increases substantially while the order size and order duration decrease . ",

author = "Egginton, {Jared F.} and {Van Ness}, {Bonnie F.} and {Van Ness}, {Robert A.}",

note = "Original Article Jared F. Egginton, Bonnie F. Van Ness, Search for more papers by this author Jared F. Egginton an Assistant Professor at Louisiana Tech University in Ruston, LA. Bonnie F. Van Ness is a Professor of Finance at The University of Mississippi in University, MS. Robert A.",

year = "2016",

doi = "10.1111/fima.12126",

language = "American English",

volume = "45",

number = "3",

}

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T1 - Quote Stuffing

AU - Egginton, Jared F.

AU - Van Ness, Bonnie F.

AU - Van Ness, Robert A.

N1 - Original Article Jared F. Egginton, Bonnie F. Van Ness, Search for more papers by this author Jared F. Egginton an Assistant Professor at Louisiana Tech University in Ruston, LA. Bonnie F. Van Ness is a Professor of Finance at The University of Mississippi in University, MS. Robert A.

PY - 2016

Y1 - 2016

N2 - In this study we examine intense episodic spikes in quoting activity (frequently referred to as quote stuffing) on market conditions. We find that quote stuffing is pervasive and that over 74% of US exchange-listed securities experienced at least one episode during 2010. We also find that stocks experience decreased liquidity, higher trading costs, and increased short-term volatility during periods of intense quoting activity. We find that most quote-stuffing events occur on the NYSE, ARCA, NASDAQ, and BATS and that during these quote-stuffing events, the number of new orders and canceled orders increases substantially while the order size and order duration decrease .

AB - In this study we examine intense episodic spikes in quoting activity (frequently referred to as quote stuffing) on market conditions. We find that quote stuffing is pervasive and that over 74% of US exchange-listed securities experienced at least one episode during 2010. We also find that stocks experience decreased liquidity, higher trading costs, and increased short-term volatility during periods of intense quoting activity. We find that most quote-stuffing events occur on the NYSE, ARCA, NASDAQ, and BATS and that during these quote-stuffing events, the number of new orders and canceled orders increases substantially while the order size and order duration decrease .

UR - http://dx.doi.org/10.1111/fima.12126

U2 - 10.1111/fima.12126

DO - 10.1111/fima.12126

M3 - Article

VL - 45

JO - Financial Management

JF - Financial Management

IS - 3

ER -

Quote Stuffing

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