The Market Inside the Market: Odd-Lot Quotes
研究发现美国股市中的零手报价常优于全国最优买卖报价，形成内部市场；利用XGBoost算法可构建盈利交易策略，并指出SEC的整手重新定义仅能部分缓解此问题。
Abstract We show current market practices relating to odd-lot quotes create a large “inside” market where better prices routinely exist relative to the National Best Bid or Offer. We show that odd-lot quotes play a price discovery role, and these quotes provide valuable information to traders with access to proprietary data feeds. Using a XGBoost machine learning algorithm that uses odd-lot data to predict future prices, we demonstrate a simple and profitable trading strategy. We argue the SEC’s proposed round-lot redefinition reduces—but does not eliminate—the high incidence of superior odd-lot quotes within the NBBO.