MITRE and University of Vermont Studies: Behavior of the U.S. Equity Market

February 2019
Topics: Data Analytics, Critical Infrastructure Protection, Economic and Cost Analysis
Brian F. Tivnan, The MITRE Corporation
Dave Dewhurst, The MITRE Corporation
Colin M. Van Oort, The MITRE Corporation
John H. Ring IV, The MITRE Corporation
Tyler J. Gray, University of Vermont
Brendan Tivnan, University of Vermont
Matt Koehler, The MITRE Corporation
Matthew T. McMahon, The MITRE Corporation
David Slater, The MITRE Corporation
Jason Veneman, The MITRE Corporation
Christopher M. Danforth, University of Vermont

MITRE and University of Vermont (UVM) released two papers that analyze U.S. financial market dynamics. The researchers studied market behavior using Thesys StarMap, the most comprehensive source of publicly available stock market data and the same data used by the U.S. Securities and Exchange Commission for its Market Information Data Analytics System (known as MIDAS).

The papers examine trades and the resulting inefficiencies for all stocks in the Dow Jones Industrial Average 30, Standard & Poor’s 500, and Russell 3000 indices. These stocks trade in the National Market System (NMS), colloquially referred to as the “stock market.” The NMS is comprised of 13 national exchanges which are geographically distributed, including the New York Stock Exchange in Mahwah, N.J., and Nasdaq in Carteret, N.J. Therefore, the NMS may present different prices to traders at different locations, which leads to market inefficiencies.


Interested in MITRE's Work?

MITRE provides affordable, effective solutions that help the government meet its most complex challenges.
Explore Job Openings

Publication Search