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An analysis of trade-size clustering and its relation to stealth trading☆ · Study

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ArticleAn analysis of trade-size clustering and its relation to stealth trading☆

Gordon J. Alexander2007

Article2007

An analysis of trade-size clustering and its relation to stealth trading☆

Gordon J. Alexander · Mark Anthony Peterson

189 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Corporate Finance and Governance Stochastic processes and financial applications

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References

1960The Strategy of Conflict 1991Inferring Trade Direction from Intraday Data 1988A Theory of Intraday Patterns: Volume and Price Variability 1987Price, trade size, and information in securities markets 1991Measuring the Information Content of Stock Trades 1995One Security, Many Markets: Determining the Contributions to Price Discovery 1998Optimal control of execution costs 1993Stealth trading and volatility

Cited by

2011Investor Competition over Information and the Pricing of Information Asymmetry 2012Clean Sweep: Informed Trading through Intermarket Sweep Orders 2017An Empirical Analysis of Market Segmentation on U.S. Equity Markets 2005You can’t always get what you want: Trade-size clustering and quantity choice in liquidity 2011Investor Competition Over Information and the Pricing of Information Asymmetry 2012Price impact asymmetry of futures trades: Trade direction and trade size

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Year2007

Typearticle

Published2007-01-18

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations189

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2006.02.005

openalex_workW2168639610

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