Intraday patterns in quoted depth on the Nasdaq: a note

Anthony Flint, Alex Frino, Dionigi Gerace, Andrew Lepone

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionpeer-review

Abstract

This study is the first to examine intraday variations in quoted depth on the Nasdaq, a competitive dealer market. Consistent with prior literature, we document a negative association between the intraday patterns in quoted depth and the bid-ask spread. At the open of trading, quoted depth is low and the bid-ask spread is wide. Near the close of trading, quoted depth is large and the bid-ask spread is narrow. The pattern in spreads and depth at the close of trading on the Nasdaq is the opposite of that reported on specialist and order-driven markets. This difference is attributed to Nasdaq dealers using both the price and the quantity of quotes to manage inventory levels at the close of trading.
Original languageEnglish
Title of host publicationProceedings of the EFMA 2010 Annual Meetings
PublisherEFMA
Pages1-13
Number of pages13
Publication statusPublished - 2010
EventEuropean Finance Management Association 2010 Annual Meetings (19th : 2010) - Aarhus, Denmark
Duration: 23 Jun 201026 Jun 2010

Conference

ConferenceEuropean Finance Management Association 2010 Annual Meetings (19th : 2010)
CityAarhus, Denmark
Period23/06/1026/06/10

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