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- W3125302085 abstract "Sub-Penny Trading (SPT) is a form of dark trading that allows traders to undercut displayed liquidity. We distinguish between SPT that is queue jumping (QJ) and mid- crossing (MID) and find that QJ is higher for NASDAQ than NYSE stocks. Consistently with Buti, Rindi, Wen and Werner (2013), QJ is positively related to depth and negatively related to stock price. We also find that QJ is associated with improved lit market quality, especially for large capitalization stocks. Sub-penny quotes are allowed for stocks priced below $1.00, and we use this fact to show that QJ increases, the spread improves but depth deteriorates as the price of a stock crosses from above to below ($1.00)." @default.
- W3125302085 created "2021-02-01" @default.
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- W3125302085 date "2013-11-01" @default.
- W3125302085 modified "2023-09-27" @default.
- W3125302085 title "Sub-Penny and Queue-Jumping" @default.
- W3125302085 hasPublicationYear "2013" @default.
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