Publications [#267004] of Leslie M. Marx

Journal Articles

1. Kandel, E; M. Marx, L, Odd-eighth avoidance as a defense against SOES bandits, Journal of Financial Economics, vol. 51 no. 1 (January, 1999), pp. 85-102, Elsevier BV [doi]
   (last updated on 2026/01/15)

   Abstract:
   We model the behavior of Nasdaq momentum traders, also known as SOES bandits. We show, all things being equal, that the profitability of SOES bandits decreases in the bid-ask spread, but increases in the effective tick size. The patterns we observe in the data provide support for the model. We then discuss the plausibility of odd-eighth tick avoidance by market makers as a defense against SOES bandits.