Odd-eighth avoidance as a defense against SOES bandits

被引：4
|
作者：
Kandel, E
Marx, LM [1 ]
机构：
[1] Univ Rochester, William E Simon Grad Sch Business Adm, Rochester, NY 14627 USA
[2] Hebrew Univ Jerusalem, Dept Econ, IL-91905 Jerusalem, Israel
[3] Hebrew Univ Jerusalem, Grad Sch Business, IL-91905 Jerusalem, Israel
来源：
JOURNAL OF FINANCIAL ECONOMICS | 1999年 / 51卷 / 01期
关键词：
Nasdaq; SOES bandits; tick size; odd-eighth avoidance;
D O I：
10.1016/S0304-405X(98)00044-0
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We model the behavior of Nasdaq momentum traders, also known as SOES bandits. We show, all things being equal, that the profitability of SOES bandits decreases in the bid-ask spread, but increases in the effective tick size. The patterns we observe in the data provide support for the model. We then discuss the plausibility of odd-eighth tick avoidance by market makers as a defense against SOES bandits, (C) 1999 Elsevier Science S,A, All rights reserved.
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页码：85 / 102
页数：18
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