Tiny trades, big questions: Fractional shares
研究零碎股交易，提出一种基于延迟的方法识别大量零碎股交易，发现高价股、网红股、IPO、SPAC和热门零售股中存在大量此类交易，并证明零碎股交易指标能预测未来流动性和波动性。
This paper investigates fractional share trading. We develop a latency-based method for identifying a large sample of fractional share trades. We find that high-priced stocks, meme stocks, IPOs, SPACs, and popular retail stocks exhibit considerable numbers of these tiny trades. We surmise that this reflects dollar-based order entry, with many tiny trades being fractional components of larger orders. We show that our fractional trade measure is predictive of future liquidity and volatility, suggesting a new metric to capture the information in retail trades. We identify how data and reporting protocols preclude knowing the extent of fractional share trading, inflate volume data, and provide censured samples of these off-exchange trades.