What's Not There: Odd Lots and Market Data
研究了股票市场中零碎交易（odd-lot trades）的普遍性及其对价格发现的影响，发现零碎交易占交易的24%至60%以上，贡献了35%的价格发现，忽略它们会导致订单不平衡和情绪指标失真，并引发监管问题。
ABSTRACT We investigate odd‐lot trades in equity markets. Odd lots are increasingly used in algorithmic and high‐frequency trading, but are not reported to the consolidated tape or in databases such as TAQ. In our sample, the median number of odd‐lot trades is 24% but in some stocks odd lots are 60% or more of trading. Odd‐lot trades contribute 35% of price discovery, consistent with informed traders using odd lots to avoid detection. Omitting odd‐lot trades leads to inaccuracies in order imbalance measures and makes sentiment measures unreliable. Excluding odd lots from the consolidated tape raises important regulatory issues.