Skip to main content
Journal cover image

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.
Journal cover image

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