Manhattan, KS 66506-4001
United States
Kansas State University
TAQ data, DTAQ data, Consolidated Tape, Order Size, Trade Size
odd-lots, high frequency trading, price contribution, price discovery
Odd lot orders, aggressive orders, stealth trading
odd lots, high frequency trading, price contribution, day-of-the-week patterns, market microstructure
TAQ data, Odd-lots, Price Discovery, Transparency, Order Imbalance, Retail Trading
Odd Lot Orders, Earnings Announcements, Informed Trading, Order Imbalance
Separately Managed Account, Mutual Funds, Concurrent Management, Favoritism