Trade Size Clustering in the E-Mini Index Futures Markets

Abstract

We compare trade size clustering of morning, afternoon, and after hours trades in both the E-mini S&P 500 and E-mini NASDAQ-100 futures markets. Morning and afternoon volatility is higher than after hours volatility. Morning and afternoon trades cluster more at round sizes than after hours trades. Morning and afternoon trades cluster more at round sizes on days with macroeconomic announcements than without announcements. Taken together, our results are consistent with the prior literature that trade size clustering increases with volatility.