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- W1542635565 abstract "We show that equity markets are typically and that trades cluster in certain trading intervals for both NYSE and Nasdaq stocks under a broad range of conditions - news and non-news days, different times of the day, and a spectrum of sizes. By two-sided we mean that the arrivals of buyer-initiated and seller-initiated trades are positively correlated; by trade we mean that trades tend to bunch together in time with greater frequency than would be expected if their arrival were a random process. Controlling for order imbalance, number of trades, news, and other microstructure effects, we find that clustering is associated with higher volatility but lower trading costs. Our analysis has implications for trading motives, market structure, and the process by which new information is incorporated into market prices." @default.
- W1542635565 created "2016-06-24" @default.
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- W1542635565 date "2006-01-01" @default.
- W1542635565 modified "2023-09-27" @default.
- W1542635565 title "Two-Sided Markets and Intertemporal Trade Clustering: Insights into Trading Motives" @default.
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- W1542635565 doi "https://doi.org/10.2139/ssrn.902358" @default.
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