Skip to main content
SpringerLink
Log in

Subpenny Trading in US Equity Markets

  • Chapter
Econophysics of Order-driven Markets

Part of the book series: New Economic Windows ((NEW))

Abstract

We study sub-penny trading in the US equity markets.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
eBook
USD 16.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 99.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 139.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Bidisha Chakrabarty and Kee H. Chung. Can sub-penny pricing reduce trading costs? (2004) http://www.sec.gov/rules/proposed/s71004/bchakrabarty2.pdf

    Google Scholar 

  2. The Vanguard Group Inc. response to sec’s concept release (2010) http://www.sec.gov/comments/s7-02-10/s70210-122.pdf

    Google Scholar 

  3. Fabrizio Pomponio and Frédéric Abergel. Trade-throughs: empirical facts and application to lead-lag measures, this volume

    Google Scholar 

  4. Securities and exchange commission. Comments on concept release on equity market structure (2010) http://www.sec.gov/comments/s7-02-10/s70210.shtml

    Google Scholar 

  5. Securities and exchange commission. Concept release on equity market structure (2010) http://www.sec.gov/rules/concept/2010/34-61358.pdf

    Google Scholar 

  6. Securities and exchange commission. Division of market regulation: Responses to frequently asked questions concerning rule 612 (minimum pricing increment) of regulation nms http://www.sec.gov/divisions/marketreg/subpenny612faq.htm

    Google Scholar 

  7. Bright Trading. Undisplayed trading centers compromising the nbbo through sub-penny trading (2010) http://www.sec.gov/comments/s7-02-10/s70210-63.pdf

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. École Polytechnique — BNP Paribas, Paris

    Romain Delassus

  2. BNP-Paribas, Head of Equity Derivatives Quantitative Analytics, UK

    Stéphane Tyč

Authors
  1. Romain Delassus
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Stéphane Tyč
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Editors and Affiliations

  1. Laboratory of Mathematics Applied to Systems, École Centrale Paris, Châtenay-Malabry, France

    Frédéric Abergel (Chair of Quantitative Finance) & Anirban Chakraborti (Chair of Quantitative Finance) (Chair of Quantitative Finance) &  (Chair of Quantitative Finance)

  2. Centre for Applied Mathematics and Computational Science, Saha Institute of Nuclear Physics, Kolkata, India

    Bikas K. Chakrabarti

  3. Economic Research Unit, Indian Statistical Institute, Kolkata, India

    Bikas K. Chakrabarti  & Manipushpak Mitra  & 

Rights and permissions

Reprints and permissions

Copyright information

© 2011 Springer-Verlag Italia

About this chapter

Cite this chapter

Delassus, R., Tyč, S. (2011). Subpenny Trading in US Equity Markets. In: Abergel, F., Chakrabarti, B.K., Chakraborti, A., Mitra, M. (eds) Econophysics of Order-driven Markets. New Economic Windows. Springer, Milano. https://doi.org/10.1007/978-88-470-1766-5_3

Download citation

Publish with us

Policies and ethics

Search

Navigation