Michael Coccia

Michael Coccia

PhD Candidate in Finance · University of Mississippi

I am a PhD candidate in Finance at the University of Mississippi, on the job market for 2026–2027. My research is in empirical market microstructure, currently focused on market fragmentation and fractional trading. My job market paper, The Persistence of Market Fragmentation, shows that fragmentation is a long memory process, and that greater lit and dark fragmentation is associated with deteriorated liquidity.

Curriculum Vitae (PDF) · Email · Google Scholar · LinkedIn

Job Market Paper

The Persistence of Market Fragmentation

Solo-authored

I present novel evidence that market fragmentation as measured by the daily Herfindahl of trading volume across venues is a long memory process, with a median differencing parameter of approximately 0.59 across 1,754 stocks from 2016 to 2026. Persistence is heterogeneous in the cross-section, with lower priced and higher volume stocks being associated with a higher memory parameter. The market-wide series is more persistent at approximately 0.77, above all but seven percent of individual stocks. I estimate the association between fragmentation and liquidity using econometric methods that allow for unbiased inference when faced with fractionally integrated processes and I find that lit and dark fragmentation are associated with deteriorated liquidity. My study reconciles conflicting results in the fragmentation literature.

PDF available on request

Research

Working Papers

  1. Are Fractional Share Trades Informative?

    with Robert Battalio and Robert A. Van Ness · Work in progress

    Recent literature suggests coordinated fractional-share trading impacts stock prices. We provide evidence that at least one retail broker systematically executes fractional-share orders in batches on a daily basis between 2023 and 2024. For example, during a 5,000-millisecond interval on March 7, 2024, over 65,000 fractional-share trades were executed in Tesla. We construct a methodology to systematically identify these “bursts” of fractional-share trades and use them to investigate whether batched execution has price impact. Despite over 89% of the fractional-share trades in bursts being buyer-initiated, both univariate and multivariate analyses indicate that bursts of fractional-share trades do not impact underlying security prices.

  2. Crumbs on the Tape: Examining Fractional Trading

    with Robert A. Van Ness · SSRN working paper, July 2026

    A February 2026 FINRA reporting change requires fractional-share trades in U.S. equities to print to the consolidated tape at their native size, making a slice of retail activity directly observable. We motivate fractional prints on the tape as a proxy for retail activity and assemble the first census of fractional trades reported to the consolidated tape. Fractional trades are executed by retail brokers, track Rule 605 wholesaler and BJZZ retail benchmarks across the cross-section, and rise with r/wallstreetbets attention. Roughly 54% of common-stock fractional trades are not identified by the BJZZ sub-penny classifier.

    SSRN · PDF

  3. Algorithmic Trading and Information Dynamics Around Unscheduled Corporate Events

    with Kathleen Fuller and Robert A. Van Ness · SSRN working paper, May 2026

    Prior work establishes that algorithmic trading (AT) deters information acquisition around scheduled events, but whether this extends to unscheduled corporate events is unknown. Using a sample of unexpected special dividend announcements, we find that abnormal AT activity widens pre-announcement informational gaps. To measure the informational asymmetries, we develop a standardized price-jump measure that preserves over 50% of observations that would be discarded under prior approaches. Aggregate AT activity declines for roughly 20 trading days following special dividend announcements — longer than around regular dividend benchmarks — suggesting AT strategies profit from information asymmetry rather than information processing.

    SSRN · PDF

Conference Presentations

Teaching

Instructor of record at the University of Mississippi across seven terms, with a mean student rating of roughly 4.4/5. Courses: Business Finance I (FIN 331) and Intermediate Financial Management (FIN 338).

Curriculum Vitae

Download CV (PDF)

Honors & Awards

Service

Contact

Email

macoccia@olemiss.edu

Office

School of Business Administration
University of Mississippi
Oxford, MS

Elsewhere

Google Scholar
LinkedIn
Curriculum Vitae

References

Robert A. Van Ness · Bonnie Van Ness · Kathleen Fuller (University of Mississippi) · Robert Battalio (University of Notre Dame). Full contact details on my CV.