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

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References

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1991Measuring the Information Content of Stock Trades1,868 cited
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1998Optimal control of execution costs1,056 cited
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1991Stock Price Clustering and Discreteness576 cited
2003Order imbalance and individual stock returns: Theory and evidence571 cited
1995Trade Size and Components of the Bid-Ask Spread

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553 cited

Cited by

2011Investor Competition over Information and the Pricing of Information Asymmetry172 cited
2012Clean Sweep: Informed Trading through Intermarket Sweep Orders101 cited
2017An Empirical Analysis of Market Segmentation on U.S. Equity Markets89 cited
2005You can’t always get what you want: Trade-size clustering and quantity choice in liquidity67 cited
2011Investor Competition Over Information and the Pricing of Information Asymmetry66 cited
2012Price impact asymmetry of futures trades: Trade direction and trade size64 cited
2009Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange60 cited
2015Trade Duration, Informed Trading, and Option Moneyness58 cited
2009INTRADAY STEALTH TRADING: WHICH TRADES MOVE PRICES DURING PERIODS OF HIGH VOLUME?56 cited
2016The price impact of futures trades and their intraday seasonality52 cited
2018The directional information content of options volumes42 cited
2011What’s Not There: The Odd-Lot Bias in TAQ Data42 cited
2012Which trader's order-splitting strategy is effective? The case of an index options market41 cited
2021Does vega-neutral options trading contain information?41 cited
2011The effectiveness of the order-splitting strategy: an analysis of unique data35 cited
2016Price clustering and the stability of stock prices35 cited