TY - JOUR
T1 - An analysis of trade-size clustering and its relation to stealth trading
AU - Alexander, Gordon J.
AU - Peterson, Mark A.
PY - 2007/5
Y1 - 2007/5
N2 - NYSE and Nasdaq trades increasingly cluster on multiples of 500, 1,000, and 5,000 shares. Such clustering varies over time and across stocks, and tends to increase with the level of trading activity. Furthermore, rounded trades tend to have more persistence both in occurrence and in trade initiation. Finally, medium-sized rounded trades tend to have greater relative price impact than large rounded trades. From these observations we surmise that trade-size clustering is consistent, at least in part, with the actions of stealth traders who tend to use medium-sized rounded transactions in an attempt to disguise their trades.
AB - NYSE and Nasdaq trades increasingly cluster on multiples of 500, 1,000, and 5,000 shares. Such clustering varies over time and across stocks, and tends to increase with the level of trading activity. Furthermore, rounded trades tend to have more persistence both in occurrence and in trade initiation. Finally, medium-sized rounded trades tend to have greater relative price impact than large rounded trades. From these observations we surmise that trade-size clustering is consistent, at least in part, with the actions of stealth traders who tend to use medium-sized rounded transactions in an attempt to disguise their trades.
KW - Informed traders
KW - Price impact
KW - Stealth trading
KW - Trade-size clustering
UR - http://www.scopus.com/inward/record.url?scp=34247277020&partnerID=8YFLogxK
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U2 - 10.1016/j.jfineco.2006.02.005
DO - 10.1016/j.jfineco.2006.02.005
M3 - Article
AN - SCOPUS:34247277020
SN - 0304-405X
VL - 84
SP - 435
EP - 471
JO - Journal of Financial Economics
JF - Journal of Financial Economics
IS - 2
ER -