Thomas H. McInish is a Professor and Wunderlich Chair of Finance in the Department of Finance, Insurance and Real Estate at Fogelman College of Business and Economics at the University of Memphis in Memphis, TN. James Upson is an Assistant Professor of Finance in the College of Business at the University of Texas at El Paso in El Paso, TX.
The Quote Exception Rule: Giving High Frequency Traders an Unintended Advantage
Article first published online: 8 APR 2013
© 2013 Financial Management Association International
Volume 42, Issue 3, pages 481–501, Fall 2013
How to Cite
McInish, T. H. and Upson, J. (2013), The Quote Exception Rule: Giving High Frequency Traders an Unintended Advantage. Financial Management, 42: 481–501. doi: 10.1111/fima.12017
The authors wish to thank an anonymous referee, Sie Ting Lau, Bohui Zhang, William T. Smith, Larry Harris, Joel Hasbrouck, Gideon Saar, Maureen O'Hara, and Jonathan Brogaard for helpful comments. We received useful comments from the participants at a Securities and Exchange Commission seminar in September 2011 and the NBER market microstructure conference in December 2011. We also thank Leslie Boni, Marc Lipson, Michael Goldstein, and other seminar participants at the 2012 FMA. Any errors remain our own.
- Issue published online: 26 AUG 2013
- Article first published online: 8 APR 2013
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