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Clustering of intraday order-sizes by uninformed versus informed traders

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  • Garvey, Ryan
  • Wu, Fei

Abstract

We examine quantity choice patterns by equity traders across trading hours in the U.S. Controlling for intraday variations in trading activity, we find that traders submit more non-rounded order sizes and more order sizes overall leading up to a day’s market close. Traders who submit more distinct order sizes pay a higher cost to trade, and they are also less informed about future prices. Our results suggest that the goal to satisfy specific quantity demands rises across the day. This differs from total trading demand, which resembles a U-shape pattern intraday, but is consistent with less trade-size clustering at the ends of fiscal quarters.

Suggested Citation

  • Garvey, Ryan & Wu, Fei, 2014. "Clustering of intraday order-sizes by uninformed versus informed traders," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 222-235.
    • Handle: RePEc:eee:jbfina:v:41:y:2014:i:c:p:222-235
    DOI: 10.1016/j.jbankfin.2014.01.026
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    Cited by:

    1. Dionne, Georges & Zhou, Xiaozhou, 2019. "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers 19-3, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.
    2. Palao, Fernando & Pardo, Ángel, 2014. "What makes carbon traders cluster their orders?," Energy Economics, Elsevier, vol. 43(C), pages 158-165.
    3. Doojin Ryu, 2017. "Comprehensive market microstructure model: considering the inventory holding costs," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 18(2), pages 183-201, March.
    4. Dionne, Georges & Zhou, Xiaozhou, 2024. "High price impact trades identication and its implication for volatility and price efficiency," Working Papers 24-3, HEC Montreal, Canada Research Chair in Risk Management.

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    More about this item

    Keywords

    Trading; Liquidity; Order size choice; Equities;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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