Search Results for author: David R. Dewhurst

Found 3 papers, 2 papers with code

Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities

no code implementations13 Feb 2019 John H. Ring IV, Colin M. Van Oort, David R. Dewhurst, Tyler J. Gray, Christopher M. Danforth, Brian F. Tivnan

Using the most comprehensive, commercially-available dataset of trading activity in U. S. equity markets, we catalog and analyze quote dislocations between the SIP National Best Bid and Offer (NBBO) and a synthetic BBO constructed from direct feeds.

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