ODD LOT ORDER AGGRESSIVENESS AND STEALTH TRADING
研究了零碎订单的激进定价程度，发现其执行频率高于大额订单，且知情交易者正将订单拆分为零碎订单进行隐形交易。
Abstract We investigate the degree to which orders are aggressively priced, paying particular attention to odd lot orders, and examine whether odd lot orders are being successfully used in stealth trading strategies. We find that odd lot orders execute at higher frequencies than larger orders, which is due to odd lot orders being aggressively priced. We find that microstructure changes have not altered the nature of price aggressiveness, but its determinants hold different explanatory power for odd lot orders. We find evidence that informed traders are shredding their orders into odd lot orders and stealth trading is permeating odd lot denominations.