Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30.

Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30.

Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in calendar year 2016 from the vantage point of a single and fixed frame of reference. We find that inefficiencies created in part by th...

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Bibliographic Details
Main Authors: Brian F Tivnan, David Rushing Dewhurst, Colin M Van Oort, John H Ring, Tyler J Gray, Brendan F Tivnan, Matthew T K Koehler, Matthew T McMahon, David M Slater, Jason G Veneman, Christopher M Danforth
Format: Article
Language:English
Published: Public Library of Science (PLoS) 2020-01-01
Series:PLoS ONE
Online Access:https://doi.org/10.1371/journal.pone.0226968

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https://doi.org/10.1371/journal.pone.0226968

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