Odd-eighth avoidance as a defense against SOES bandits
Publication
, Journal Article
Kandel, E; M. Marx, L
Published in: Journal of Financial Economics
January 1, 1999
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.
Duke Scholars
Published In
Journal of Financial Economics
DOI
ISSN
0304-405X
Publication Date
January 1, 1999
Volume
51
Issue
1
Start / End Page
85 / 102
Related Subject Headings
- Finance
- 1606 Political Science
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
Citation
APA
Chicago
ICMJE
MLA
NLM
Kandel, E., & M. Marx, L. (1999). Odd-eighth avoidance as a defense against SOES bandits. Journal of Financial Economics, 51(1), 85–102. https://doi.org/10.1016/S0304-405X(98)00044-0
Kandel, E., and L. M. Marx. “Odd-eighth avoidance as a defense against SOES bandits.” Journal of Financial Economics 51, no. 1 (January 1, 1999): 85–102. https://doi.org/10.1016/S0304-405X(98)00044-0.
Kandel E, M. Marx L. Odd-eighth avoidance as a defense against SOES bandits. Journal of Financial Economics. 1999 Jan 1;51(1):85–102.
Kandel, E., and L. M. Marx. “Odd-eighth avoidance as a defense against SOES bandits.” Journal of Financial Economics, vol. 51, no. 1, Jan. 1999, pp. 85–102. Scopus, doi:10.1016/S0304-405X(98)00044-0.
Kandel E, M. Marx L. Odd-eighth avoidance as a defense against SOES bandits. Journal of Financial Economics. 1999 Jan 1;51(1):85–102.
Published In
Journal of Financial Economics
DOI
ISSN
0304-405X
Publication Date
January 1, 1999
Volume
51
Issue
1
Start / End Page
85 / 102
Related Subject Headings
- Finance
- 1606 Political Science
- 1502 Banking, Finance and Investment
- 1402 Applied Economics