User profiles for B. F. Van Ness
Bonnie Van NessUniversity of Mississippi Verified email at bus.olemiss.edu Cited by 3317 |
Limit orders and the bid–ask spread
We examine the role of limit-order traders and specialists in the market-making process. We
find that a large portion of posted bid–ask quotes originates from the limit-order book without …
find that a large portion of posted bid–ask quotes originates from the limit-order book without …
How well do adverse selection components measure adverse selection?
The performance of five adverse selection models are examined by comparing their component
estimates to other measures of information asymmetry and informed trading. The models …
estimates to other measures of information asymmetry and informed trading. The models …
Quote stuffing
…, BF Van Ness, RA Van Ness - Financial …, 2016 - Wiley Online Library
… Van Ness is a Professor of Finance at The University of Mississippi in University, MS.
Robert A. Van Ness is a Professor of Finance at The University of Mississippi in University, MS. …
Robert A. Van Ness is a Professor of Finance at The University of Mississippi in University, MS. …
What drives the S&P 500 inclusion effect? An analytical survey
… Van Ness is an associate professor of finance at the University of Mississippi in University,
MS. Mark D. Walker is an assistant professor of finance at North Carolina State University in …
MS. Mark D. Walker is an assistant professor of finance at North Carolina State University in …
Clustering in the futures market: Evidence from S&P 500 futures contracts
…, BF Van Ness, RA Van Ness - Journal of Futures …, 2004 - Wiley Online Library
We document trade price clustering in the futures markets. We find clustering at prices of x.00
and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout …
and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout …
The impact of the reduction in tick increments in major US markets on spreads, depth, and volatility
This study presents an analysis of the impact of the introduction of quotes in sixteenths of a
dollar on the AMEX, Nasdaq, and NYSE in mid-1997 on select market characteristics such as …
dollar on the AMEX, Nasdaq, and NYSE in mid-1997 on select market characteristics such as …
Trading costs and quote clustering on the NYSE and NASDAQ after decimalization
…, BF Van Ness, RA Van Ness - Journal of Financial …, 2004 - Wiley Online Library
We examine execution costs and quote clustering on the New York Stock Exchange (NYSE)
and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the …
and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the …
Intraday stealth trading: which trades move prices during periods of high volume?
…, BF Van Ness, RA Van Ness - Journal of Financial …, 2009 - Wiley Online Library
Research documents a U‐shaped intraday pattern of returns. We examine which trade sizes
drive the U‐shaped pattern and find that intraday price changes from larger trades exhibit a …
drive the U‐shaped pattern and find that intraday price changes from larger trades exhibit a …
Competition in the market for NASDAQ securities
The study investigates competition in the market for NASDAQ stocks during a recent period
in US equity markets history when three major Electronic Communication Networks (ECNs)—…
in US equity markets history when three major Electronic Communication Networks (ECNs)—…
Canceling liquidity
BF Van Ness, RA Van Ness… - Journal of Financial …, 2015 - Wiley Online Library
… We follow the matching method from Chung, Van Ness, and Van Ness (2004). We match
using the following attributes to create a matched sample: market capitalization, volume, …
using the following attributes to create a matched sample: market capitalization, volume, …