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

Alexander, Gordon J.; Peterson, Mark A.

doi:10.1016/j.jfineco.2006.02.005

Cited by 174 publications

(138 citation statements)

References 41 publications

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“…Following tests of stealth trading by Alexander and Peterson (2007), we use three periods to compensate for different tick-size environments. In 1995 and 1998, stocks were traded in 1/8ths and 1/16ths, respectively.…”

Section: Data Descriptionmentioning

confidence: 99%

“…We separate trades into trade size categories following Barclay and Warner (1993), Chakravarty (2001), Alexander and Peterson (2007), and Hansch and Choe (2007). Small trades are trades of 100-499 shares, medium trades are 500-9,999 shares, and large trades are greater than or equal to 10,000 shares.…”

Section: Data Descriptionmentioning

confidence: 99%

“…However, we are unable to obtain order data and make the assumption that larger trades at the beginning and end of the trading day are highly correlated with larger orders. Alexander and Peterson (2007) use TORQ data from 1991, which is the only publicly available database 5 Barclay and Warner (1993) argue that informed investors will break up larger trades into mediumsized trades to avoid revealing their information and redundant transaction costs. Hansch and Choe (2007) find that around the time of decimalization, the distribution of informed trades shifts from medium-sized trades to small trades.…”

Section: Data Descriptionmentioning

confidence: 99%

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Intraday Stealth Trading: Which Trades Move Prices During Periods of High Volume?

Blau

Ness

2008

SSRN Journal

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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.

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Section: Data Descriptionmentioning

confidence: 99%

Section: Data Descriptionmentioning

confidence: 99%

Section: Data Descriptionmentioning

confidence: 99%

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Intraday Stealth Trading: Which Trades Move Prices During Periods of High Volume?

Blau

Ness

2008

SSRN Journal

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“…The magnitude and significance of trade size clustering in financial markets has recently attracted attention (see Alexander andPeterson, 2007 andMoulton, 2005). Hodrick and Moulton (2009) demonstrate that liquidity has three dimensions; (1) price, (2) timing and (3) quantity.…”

Section: Introductionmentioning

confidence: 99%

“…Related to this, we study execution costs separately for liquidity demanders and liquidity providers. Second, we examine execution cost differences on the LSE in light of the findings of Alexander and Peterson (2007) and Moulton (2005) that there are significant differences in execution and price impact costs between trades in popular sizes and those in non-clustered sizes. Hence, our primary aim is to study differences in transaction costs across different market structures with regard to their relationship to trade size clustering.…”

Section: Introductionmentioning

confidence: 99%

Trade size clustering and the cost of trading at the London Stock Exchange

Verousis

Gwilym

2013

International Review of Financial Analysis

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For the London Stock Exchange, this paper investigates differences in trading costs between market maker (off-book) and order book trades, in the context of clustering in trade sizes and prices. We report several substantial findings. Even after controlling for differences in trade size, the realised spread measure is lower for off-book trades. For the order book, trade size clustering is not associated with differences in transaction costs nor with differences in the information content of trades. For the off-book market, trades in clustered (popular) sizes carry significantly more information than non-clustered trades. Despite the significant differences in the price impact estimates between the order book and off-book, we show that traders placing large orders off-book are still better off than trading via the order book as they benefit from a large discount from the current midpoint price. Additionally, we highlight that price and size clustering tend to occur simultaneously rather than being substitutes in this market setting.

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Bibliography

2012

Regulating Competition in Stock Markets

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

Cited by 174 publications

References 41 publications

Intraday Stealth Trading: Which Trades Move Prices During Periods of High Volume?

Intraday Stealth Trading: Which Trades Move Prices During Periods of High Volume?

Trade size clustering and the cost of trading at the London Stock Exchange

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