Can you comment on how hard it was to find another period exhibiting this behavior? The article says We chose this period because there was a noticeable lag in the public quote from the NYSE versus quotes from other exchanges, allowing us to rule out the consolidation process as a source of the delay. Did you have to look for a few periods to see the behavior, or did you look for a few to get a sample that showed the problem more clearly?

Do you have any info on how often lag was present, or how often over a specific threshold?

Do you know how representative you sample was with respect to when lag was present?

I understand you may not have gone into this much detail in your research, but if you have any info like this, I think it helps illustrate the scope of the problem.