Zobrazeno 1 - 10
of 42
pro vyhledávání: '"Robert H. Battalio"'
Autor:
Robert H. Battalio, Robert H. Jennings
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c2e3b7b8723494a5551fb49cf54cdeef
https://doi.org/10.2139/ssrn.4403047
https://doi.org/10.2139/ssrn.4403047
Publikováno v:
Journal of Financial and Quantitative Analysis. 56:183-211
We examine whether options exchanges’ pricing schedules affect broker order routing behavior and limit order execution quality. We find that some brokers seemingly maximize the value of their order flow by selling marketable orders and sending nonm
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0ee79f9d632a2a09e727c2dd4b28653d
https://doi.org/10.1017/s0022109019001078
https://doi.org/10.1017/s0022109019001078
Publikováno v:
Financial Analysts Journal. 76:82-99
Do option investors rationally exercise their options? Numerous studies report evidence of irrational behavior. In this paper, we pay careful attention to intraday option quotes and reach the opposite conclusion. An exercise boundary violation (EBV)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f735735088744200a880cc0fc71ae8d1
https://doi.org/10.1080/0015198x.2019.1694362
https://doi.org/10.1080/0015198x.2019.1694362
Autor:
Robert H. Battalio, Shane A. Corwin, Robert H. Jennings, Antonino Emanuele Rizzo, Rafael Zambrana
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::833b88f8622e1ba5140a5111b9c6d769
https://doi.org/10.2139/ssrn.4172424
https://doi.org/10.2139/ssrn.4172424
Publikováno v:
The Journal of Trading. 12:35-41
Current National Market System rules do not recognize odd lots in the protected intermarket quote. Thus, liquidity demanders can receive worse prices than they would receive if odd lots were protected. The effect of ignoring odd lots is magnified bec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a1d49afade1e52c63bd8c609cc6bd46f
https://doi.org/10.3905/jot.2017.12.1.035
https://doi.org/10.3905/jot.2017.12.1.035
Publikováno v:
Journal of Financial Markets. 53:100567
Most financial security trading venues prioritize competing liquidity providers with price-time priority; entities displaying the best-priced limit order earliest trade with the next opposite-sided liquidity-demanding order. The New York Stock Exchan
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4c7adea971896c3ca3c0af0920f40678
https://doi.org/10.1016/j.finmar.2020.100567
https://doi.org/10.1016/j.finmar.2020.100567
Publikováno v:
Journal of Financial and Quantitative Analysis. 51:1637-1662
Equity options exchanges in the United States use one of two models to execute marketable orders: the maker-taker model or the payment for order flow (PFOF) model. Exchanges utilizing the maker-taker model charge liquidity demanders a taker fee to ac
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6814ded80ab4d898f19c00d174df6f05
https://doi.org/10.1017/s0022109016000582
https://doi.org/10.1017/s0022109016000582
Publikováno v:
SSRN Electronic Journal.
We use a novel dataset to examine the impact of exposing institutional orders to electronic liquidity providers (ELPs). We present empirical evidence that marketable pieces of large parent orders are routed to ELPs, seemingly to avoid paying liquidit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b1849bb0f55bd1be1808237a114a029c
https://doi.org/10.2139/ssrn.3281324
https://doi.org/10.2139/ssrn.3281324
Publikováno v:
SSRN Electronic Journal.
Exchange competition across U.S. options exchanges facilitates the tailoring and frequent modification of fees to attract particular order flow. We examine whether the maker-taker model or the payment for order flow (PFOF) model offers superior limit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::82126d069054a4f6e3ea07a416edae74
https://doi.org/10.2139/ssrn.2870000
https://doi.org/10.2139/ssrn.2870000
Autor:
Paul Schultz, Robert H. Battalio
Publikováno v:
The Journal of Finance. 66:2013-2053
We examine how the confusion and regulatory uncertainty generated by the imposition of short sale restrictions in September 2008 impacted equity option markets. We uncover three primary findings. First, investors seeking short exposure in financial s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f38277cb83cbf485f5a3bbe6c28b8859
https://doi.org/10.1111/j.1540-6261.2011.01700.x
https://doi.org/10.1111/j.1540-6261.2011.01700.x