On the occurrence and consequences of inaccurate ... - Acsu Buffalo
On the occurrence and consequences of inaccurate ... - Acsu Buffalo
On the occurrence and consequences of inaccurate ... - Acsu Buffalo
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Panel D: Time since quote update<br />
Full sample 1 min or less 73,127 82.52 15,486 17.48 "824.195 <br />
1}5 min 88,532 84.62 16,096 15.38 (0.001)<br />
Over 5 min 108,842 86.99 16,281 13.01<br />
E.R. Odders-White / Journal <strong>of</strong> Financial Markets 3 (2000) 259}286 271<br />
<strong>On</strong>e minute 10 s or less 11,441 81.51 2,596 18.49 "21.591 <br />
or Less 10}30 s 29,990 82.27 6,461 17.73 (0.001)<br />
<strong>On</strong>ly 30 s or more 31,696 83.14 6,429 16.86<br />
Panel E: Firm size<br />
Full sample Large (Deciles 1}5) 237,034 83.92 45,409 16.08 "2132.56 <br />
Small (Deciles 6}10) 33,467 93.17 2,454 6.83 (0.001)<br />
Inside <strong>the</strong> spread only Large (Deciles 1}5) 35,976 64.58 19,729 35.42 "80.981 <br />
Small (Deciles 6}10) 3,217 71.22 1,300 28.78 (0.001)<br />
At or Outside quotes <strong>On</strong>ly Large (Deciles 1}5) 201,058 88.67 25,680 11.33 "1733.59 <br />
Small (Deciles 6}10) 30,250 96.33 1,154 3.67 (0.001)<br />
3,000 Trades Large (Deciles 1}5) 44,670 87.94 6,126 12.06 "595.356 <br />
or less only Small (Deciles 6}10) 30,651 93.12 2,263 6.88 (0.001)<br />
3001}15000 Large (Deciles 1}5) 79,389 85.92 13,015 14.08 "146.034 <br />
Trades only Small (Deciles 6}10) 2,816 93.65 191 6.35 (0.001)<br />
Over 15,000 Large (Deciles 1}5) 112,975 81.14 26,268 18.86 N/A<br />
Trades only Small (Deciles 6}10) 0 N/A 0 N/A<br />
Panel F: Accuracy by type <strong>of</strong> midpoint trade<br />
Midpoint<br />
Uptick or downtick 6734 76.89 2024 23.11 "918.924 <br />
trades<br />
(0.001)<br />
only Zero-tick (no price change) 25,070 59.66 16,949 40.34
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