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Selected Works of Jared F. Egginton
Article
Quote Stuffing
Financial Management (2016)
  • Jared F. Egginton, Louisiana Tech University
  • Bonnie F. Van Ness, University of Mississippi
  • Robert A. Van Ness, University of Mississippi
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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.
Disciplines
Publication Date
Fall 2016
DOI
10.1111/fima.12126
Citation Information
Jared F. Egginton, Bonnie F. Van Ness and Robert A. Van Ness. "Quote Stuffing" Financial Management Vol. 45 Iss. 3 (2016) p. 583 - 608
Available at: http://works.bepress.com/jared-egginton/1/