INTRADAY STEALTH TRADING: WHICH TRADES MOVE PRICES DURING PERIODS OF HIGH VOLUME?

Abstract

Abstract Research documents a U‐shaped intraday pattern of returns. We examine which trade sizes drive the U‐shaped pattern and find that intraday price changes from larger trades exhibit a U‐shaped pattern whereas price changes from smaller trades show a reverse U‐shaped pattern. We argue that price changes from smaller trades are higher during the middle of the day because informed investors break up their trades to disguise their information when intraday volume is low. Price changes from larger trades are likely higher at the beginning and end of the day because high volume allows informed investors to increase their trade size without revealing their information to the market.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 56 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.