1-share orders and trades

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• 作者：Ryan L. Davis^a ; ^{davisrl@uab.edu} ; Brian S. Roseman^b ; ^{broseman@fullerton.edu} ; Bonnie F. Van Ness^c ; ^{bvanness@bus.olemiss.edu} ; Robert Van Ness^c ; ^{rvanness@bus.olemiss.edu}
• 关键词：Odd-lot ; Trades ; Orders ; High frequency trading
• 刊名：Journal of Banking & Finance
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：75
• 期：Complete
• 页码：109-117
• 全文大小：630 K
• 卷排序：75

文摘

1-share trades are the most common odd lot trade size, accounting for 9.62% of all odd lot transactions and 3.65% of all trades on NASDAQ in 2012. While 50.41% of 1-share trades result from broken orders, 34.89% of 1-share trades are intentional. We provide substantial evidence that traders use 1-share trades to “ping” for hidden liquidity. In particular, our results indicate that 1-share trades are disproportionately aggressive and also execute against hidden liquidity more than any other odd lot trade size. We also find a relative increase in trading immediately following a 1-share trade. Our results are in line with Clark-Joseph (2014), who suggests that traders may use small, unprofitable trades to detect information from other traders. Specifically, 1-share trades represent the minimum cash outlay necessary to trade, while simultaneously producing the smallest possible effects on a market maker's inventory, and in turn, a security's price.