

A Response to Dolgopolov’s Critique of “How Rigged Are Stock Markets?”
In his May 5 post, available here, Stanislav Dolgopolov states that the Securities and Exchange Commission’s recent settlement with Citadel “undermines the so-called ‘Berkeley Study’ which concluded that off-exchange market makers can neither profitably engage in data feed arbitrage by ‘filling marketable orders at (or within) the SIP-generated NBBO [National Best Bid and Offer] . . . at stale prices to the disadvantage of retail investors’ nor ‘choose as their pricing benchmark the slower SIP-generated NBBO to boost their performance metrics.’” Mr. Dolgopolov further states that our study “skirted the fact that relevant strategies do not rely on choosing … Read more