MITRE and University of Vermont Studies: Behavior of the U.S. Equity MarketFebruary 2019
Topics: Data Analytics, Critical Infrastructure Protection, Economic and Cost Analysis
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.
- Read the complete analyses and findings around the Dow 30 in the research paper, Fragmentation and Inefficiencies in the U.S. Equity Markets: Evidence from the Dow 30.
- Read the complete analyses and findings around the Standard & Poor's 500 and Russell 3000 in the research paper, Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities.