Nasdaq market structure and spread patterns

Symposium on market microstructure: Focus on Nasdaq

This special issue of the Journal of Financial Economics includes six articles that analyze the market microstructure of Nasdaq in various ways. The question of the costs of trading on Nasdaq has become contentious in both the academic and legal/regulatory arenas since the Christie and Schultz (1994) article first noted that many actively traded Nasdaq stocks were almost never quoted on odd eig...

A Nasdaq Market Simulation: Draft in Progress

Isaac Saias, and others for their valuable comments and suggestions. We thank Paula Lozar for editing help. We acknowledge Nasdaq's financial support in working on this project. Usual disclaimer applies.

Market Structure and Price Adjustment in the Iranian Tea Market

Ensemble properties of securities traded in the NASDAQ market

We study the price dynamics of stocks traded in the NASDAQmarket by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by extracting its first two central moments. According to previous results obtained for the NYSE market, we find that the second moment is a long-range correlated...

Learning, Evolution and Tick Size Effects in a Simulation of the Nasdaq Stock Market

This paper presents the results of our research into the behavior of a dealer-mediated stock market, similar to Nasdaq, by using an agent-based model of the market. We modeled on an individual level the decision-making process of market ma kers (dealers) and investors, as well as explicitly mo deling market i nfrastructure and rules. The model allows investigation of market behaviors under a va...