Mark A. Peterson

TL;DR: In this article, the authors use intraday data to examine whether traders herd during periods of extreme market movements using sector Exchange Traded Funds (ETFs) using two procedures, one based on identifying extreme up market and down market periods and the other based on incorporating a nonlinear term in a regression specification, are used to identify the possibility of the existence of herding behavior in nine sector ETFs traded on the American Stock Exchange.

TL;DR: In this paper, the authors observed that trade-size clustering is consistent with the actions of stealth traders who tend to use medium-sized rounded transactions in an attempt to disguise their trades.

TL;DR: In this article, the authors examine how price tests affect trader behavior and market quality, which are areas of interest given by the US Securities and Exchange Commission in evaluating these tests. And they find that the removal of price tests benefit traders by allowing them to trade more aggressively by placing orders that receive quicker execution.

TL;DR: In this article, the authors use order data to assess the accuracy of execution cost estimation with trade and quote data and find that the bias results from errors in the inference of the trade direction and the assignment of the benchmark quote.

TL;DR: In this paper, the authors present a detailed view of market quality in the presence of preferencing arrangements, and analyze the execution quality of retail order flow on the primary and regional U.S. equity exchanges.