Are Odd‐Lot Orders Informed?
使用纳秒级ITCH数据，发现约50%的零碎交易由挂单产生，且零碎市价单并不比整手/混合手市价单更具信息优势。
Abstract Using a version of the ITCH data set time stamped to the millisecond, O'Hara, Yao and Ye find that odd‐lot trades are highly informed. However, NASDAQ reports trades based on the size of the resting limit order, creating a bias in the count of odd‐lot trades. Using ITCH data from 2013, time stamped to the nanosecond, we find that roughly 50% of odd‐lot trades are created by the resting limit order and are part of larger marketable orders. We show that odd‐lot marketable orders are not more informed than round/mixed lot marketable orders.