Market Microstructure
In the Blink of an Eye: Exchange-to-SIP Latency and Trade Classification Accuracy, with Craig Holden and Matthew Pierson, Reject and Resubmit at the Journal of Finance.
[SAS code] for the Latency Timestamp-Adjusted (LTA) Method. This code is built on Holden and Jacobsen's (2014) SAS code (v.2018) and incorporates many of the latest changes in Daily TAQ. It also addresses a few newly discovered data issues and offers solutions to clean them.
[New Data on WRDS] Relative Best Bid and Offer (RBBO), WRDS RBBO Consolidated Trades (WRCT), and WRDS RBBO Intraday Indicators Dataset (WRDS RIID) are coming on WRDS soon.
Media coverage: Financial Conduct Authority (FCA) & Europe Economics, "Pre-trade Equities Consolidated Tape," 2024.
Difficulties in Obtaining a Representative Sample of Retail Trades from Public Data Sources, with Robert Battalio, Robert Jennings, and Mehmet Saglam, Revise and Resubmit at the Journal of Finance.
Arbitrage the Fast and Slow Networks
The True Cost of Price Discovery
Hide and Seek: Information in Daily Odd Lots Order Imbalance
Can We Identify Order Routing in Daily TAQ?
A Comprehensive Guide on NYSE Daily TAQ Data
Investments
Stylized Facts from N-SAR, N-CEN, and N-PORT: New Data from WRDS, with Jules Van Binsbergen and Matthew Pierson, work-in-progress
ETF Fragility and Owners, with Veronika Pool and Jayoung Nam, work-in-progress