Odd-eighth avoidance as a defense against SOES bandits

• 成果类型: Article
• 署名作者: Kandel, E; Marx, LM
• 署名单位: University of Rochester; Hebrew University of Jerusalem; Hebrew University of Jerusalem
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00044-0
• 发表日期: 1999
• 页码: 85-102
• 关键词: NASDAQ; SOES bandits; TICK SIZE; odd-eighth avoidance

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.