You Can’t Always Get What You Want: Trade-size Clustering and Quantity Choice in Liquidity”,

Abstract This paper examines whether investors care more about trading their exact quantity demands at some times than at others. Using a new data set of foreign-exchange transactions, I find that customers trade more precise quantities at quarter-end, as evidenced by less trade-size clustering. Customers trade more odd lots and fewer round lots, while the number of trades and total volume are not significantly changed. I also find that the price impact of order flow is greater when customers care more about trading precise quantities. This work sheds new light on trade-size clustering and offers a potential explanation for time-series and cross-sectional variations in common liquidity measures. JEL classification: D4; G12; G1

Competition from the limit order book and NYSE spreads

Using the New York Stock Exchange\u27s (NYSE) trades, orders, reports, and quotes data, we investigate whether competition from the limit order book reduces NYSE spreads. We replicate and extend the research design of McInish and Wood (1992). We find that there is a statistically significant reduction in NYSE spreads as a result of limit order competition and that the reduction is significantly greater in the morning than during the remainder of the trading day. We also examine the day-of-the-week differences in limit order placements and find no day of the week pattern in the number or the size of limit order placements. © 2000 Elsevier Science B.V. All rights reserved