How to choose the stock exchange to trade a stock?

External question — Quantitative Finance Stack Exchange Author: Ali Baba Original post: https://quant.stackexchange.com/questions/24604 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Let's take an example : Hewlett Packard. The company is listed on both Nasdaq and Nyse. Correct me if I am wrong but as we can trade it on 2 different stock exchanges the price of the stock may diverge slightly between them. Therefore I don't understand why my broker proposes HP only on Nyse and not Nasdaq. It seem to be the case everywhere : for instance, Google finance exposes HP only on Nyse.