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Non-standard errors
(2021)
Menkveld, Albert J. ; Dreber, Anna ; Holzmeister, Felix ; Huber, Jürgen ; Johannesson, Magnus ; Kirchler, Michael ; Razen, Michael ; Weitzel, Utz ; Abad Díaz, David ; Abudy, Menachem ; Adrian, Tobias ; Ait-Sahalia, Yacine ; Akmansoy, Olivier ; Alcock, Jamie ; Alexeev, Vitali ; Aloosh, Arash ; Amato, Livia ; Amaya, Diego ; Angel, James ; Bach, Amadeus ; Baidoo, Edwin ; Bakalli, Gaetan ; Barbon, Andrea ; Bashchenko, Oksana ; Bindra, Parampreet Christopher ; Bjonnes, Geir Hoidal ; Black, Jeff ; Black, Bernard S. ; Bohorquez, Santiago ; Bondarenko, Oleg ; Bos, Charles S. ; Bosch-Rosa, Ciril ; Bouri, Elie ; Brownlees, Christian ; Calamia, Anna ; Cao, Viet Nga ; Capelle-Blancard, Gunther ; Capera, Laura ; Caporin, Massimiliano ; Carrion, Allen ; Caskurlu, Tolga ; Chakrabarty, Bidisha ; Chernov, Mikhail ; Cheung, William M. ; Chincarini, Ludwig Boris ; Chordia, Tarun ; Chow, Sheung Chi ; Clapham, Benjamin ; Colliard, Jean-Edouard ; Comerton-Forde, Carole ; Curran, Edward ; Dao, Thong ; Dare, Wale ; Davies, Ryan J. ; De Blasis, Riccardo ; De Nard, Gianluca ; Declerck, Fany ; Deev, Oleg ; Degryse, Hans ; Deku, Solomon ; Desagre, Christophe ; Dijk, Mathijs van ; Dim, Chukwuma ; Dimpfl, Thomas ; Dong, Yun Jiang ; Drummond, Philip ; Dudda, Tom ; Dumitrescu, Ariadna ; Dyakov, Teodor ; Haubo Dyhrberg, Anne ; Dzieliński, Michał ; Eksi, Asli ; El Kalak, Izidin ; Ellen, Saskia ter ; Eugster, Nicolas ; Evans, Martin D. D. ; Farrell, Michael ; Félez-Viñas, Ester ; Ferrara, Gerardo ; Ferrouhi, El Mehdi ; Flori, Andrea ; Fluharty-Jaidee, Jonathan ; Foley, Sean ; Fong, Kingsley Y. L. ; Foucault, Thierry ; Franus, Tatiana ; Franzoni, Francesco ; Frijns, Bart ; Frömmel, Michael ; Fu, Servanna ; Füllbrunn, Sascha ; Gan, Baoqing ; Gehrig, Thomas ; Gerritsen, Dirk ; Gil-Bazo, Javier ; Glosten, Lawrence R. ; Gomez, Thomas ; Gorbenko, Arseny ; Güçbilmez, Ufuk ; Grammig, Joachim ; Gregoire, Vincent ; Hagströmer, Björn ; Hambuckers, Julien ; Hapnes, Erik ; Harris, Jeffrey H. ; Harris, Lawrence ; Hartmann, Simon ; Hasse, Jean-Baptiste ; Hautsch, Nikolaus ; He, Xuezhong ; Heath, Davidson ; Hediger, Simon ; Hendershott, Terrence ; Hibbert, Ann Marie ; Hjalmarsson, Erik ; Hoelscher, Seth A. ; Hoffmann, Peter ; Holden, Craig W. ; Horenstein, Alex R. ; Huang, Wenqian ; Huang, Da ; Hurlin, Christophe ; Ivashchenko, Alexey ; Iyer, Subramanian Rama ; Jahanshahloo, Hossein ; Jalkh, Naji ; Jones, Charles M. ; Jurkatis, Simon ; Jylha, Petri ; Kaeck, Andreas ; Kaiser, Gabriel ; Karam, Arzé ; Karmaziene, Egle ; Kassner, Bernhard ; Kaustia, Markku ; Kazak, Ekaterina ; Kearney, Fearghal ; Kervel, Vincent van ; Khan, Saad ; Khomyn, Marta ; Klein, Tony ; Klein, Olga ; Klos, Alexander ; Koetter, Michael ; Krahnen, Jan Pieter ; Kolokolov, Aleksey ; Korajczyk, Robert A. ; Kozhan, Roman ; Kwan, Amy ; Lajaunie, Quentin ; Lam, FY Eric C ; Lambert, Marie ; Langlois, Hugues ; Lausen, Jens ; Lauter, Tobias ; Leippold, Markus ; Levin, Vladimir ; Li, Yijie ; Li, Hui ; Liew, Chee Yoong ; Lindner, Thomas ; Linton, Oliver B. ; Liu, Jiacheng ; Liu, Anqi ; Llorente, Guillermo ; Lof, Matthijs ; Lohr, Ariel ; Longstaff, Francis A. ; Lopez-Lira, Alejandro ; Mankad, Shawn ; Mano, Nicola ; Marchal, Alexis ; Martineau, Charles ; Mazzola, Francesco ; Meloso, Debrah ; Mihet, Roxana ; Mohan, Vijay ; Moinas, Sophie ; Moore, David ; Mu, Liangyi ; Muravyev, Dmitriy ; Murphy, Dermot ; Neszveda, Gabor ; Neumeier, Christian ; Nielsson, Ulf ; Nimalendran, Mahendrarajah ; Nolte, Sven ; Norden, Lars L. ; O'Neill, Peter ; Obaid, Khaled ; Ødegaard, Bernt Arne ; Östberg, Per ; Painter, Marcus ; Palan, Stefan ; Palit, Imon ; Park, Andreas ; Pascual, Roberto ; Pasquariello, Paolo ; Pastor, Lubos ; Patel, Vinay ; Patton, Andrew J. ; Pearson, Neil D. ; Pelizzon, Loriana ; Rzeźnik, Aleksandra ; Sanford, Anthony ; Sankaran, Harikumar ; Sarkar, Asani ; Sarno, Lucio ; Scaillet, O. ; Scharnowski, Stefan ; Schenk-Hoppé, Klaus Reiner ; Schertler, Andrea ; Schneider, Michael ; Schroeder, Florian ; Schürhoff, Norman ; Schuster, Philipp ; Schwarz, Marco A. ; Seasholes, Mark S. ; Seeger, Norman ; Shachar, Or ; Shkilko, Andriy ; Shui, Jessica ; Sikic, Mario ; Simion, Giorgia ; Smales, Lee A. ; Söderlind, Paul ; Sojli, Elvira ; Sokolov, Konstantin ; Spokeviciute, Laima ; Stefanova, Denitsa ; Subrahmanyam, Marti G. ; Neusüss, Sebastian ; Szaszi, Barnabas ; Talavera, Oleksandr ; Tang, Yuehua ; Taylor, Nicholas ; Tham, Wing Wah ; Theissen, Erik ; Thimme, Julian ; Tonks, Ian ; Tran, Hai ; Trapin, Luca ; Trolle, Anders B. ; Valente, Giorgio ; Van Ness, Robert A. ; Vasquez, Aurelio ; Verousis, Thanos ; Verwijmeren, Patrick ; Vilhelmsson, Anders ; Vilkov, Grigory ; Vladimirov, Vladimir ; Vogel, Sebastian ; Voigt, Stefan ; Wagner, Wolf ; Walther, Thomas ; Weiss, Patrick ; Wel, Michel van der ; Werner, Ingrid M. ; Westerholm, Joakim ; Westheide, Christian ; Wipplinger, Evert ; Wolf, Michael ; Wolff, Christiaan Cornelis Petrus ; Wolk, Leonard ; Wong, Wing Keung ; Wrampelmeyer, Jan ; Xia, Shuo ; Xiu, Dacheng ; Xu, Ke ; Xu, Caihong ; Yadav, Pradeep ; Yagüe, José ; Yan, Cheng ; Yang, Antti ; Yoo, Woongsun ; Yu, Wenjia ; Yu, Shihao ; Yueshen, Bart Zhou ; Yuferova, Darya ; Zamojski, Marcin ; Zareei, Abalfazl ; Zeisberger, Stefan ; Zhang, Sarah ; Zhang, Xiaoyu ; Zhong, Zhuo ; Zhou, Z. Ivy ; Zhou, Chen ; Zhu, Xingyu Sonya ; Zoican, Marius ; Zwinkels, Remco C. J. ; Chen, Jian ; Duevski, Teodor ; Gao, Ge ; Gemayel, Roland ; Gilder, Dudley ; Kuhle, Paul ; Pagnotta, Emiliano ; Pelli, Michele ; Sönksen, Jantje ; Zhang, Lu ; Ilczuk, Konrad ; Bogoev, Dimitar ; Qian, Ya ; Wika, Hans C. ; Yu, Yihe ; Zhao, Lu ; Mi, Michael ; Bao, Li ; Vaduva, Andreea ; Prokopczuk, Marcel ; Avetikian, Alejandro ; Wu, Zhen-Xing
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sample. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.
Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of electronic message traffic (order submissions, cancellations, and executions) as a proxy for algorithmic trading, and we trace the associations between liquidity and message traffic. Based on within-stock variation, we find that algorithmic trading and liquidity are positively related. To sort out causality, we use the start of autoquoting on the NYSE as an exogenous instrument for algorithmic trading. Previously, specialists were responsible for manually disseminating the inside quote. As stocks were phased in gradually during early 2003, the manual quote was replaced by a new automated quote whenever there was a change to the NYSE limit order book. This market structure change provides quicker feedback to traders and algorithms and results in more message traffic. For large-cap stocks in particular, quoted and effective spreads narrow under autoquote and adverse selection declines, indicating that algorithmic trading does causally improve liquidity.
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