Considering all microstructure effects: The extension of a trade indicator model

- We propose a microstructure model considering trade durations, sizes, spreads, and depth.
- Fast and large trades indicate informed trading in a highly liquid futures market.
- Higher liquidity decreases (increases) the permanent (temporary) spread component.

By considering various market microstructure effects, this letter proposes a comprehensive trade indicator model incorporating trade duration, order sizes, bid-ask spreads, and market depth into a unified framework. Examining the intraday price behavior of the KOSPI200 futures market, we find that (i) fast trading indicates informed trading, (ii) stealth trading does not prevail, (iii) order-processing costs reach economies of scale, and (iv) liquidity significantly affects investors' order submission decisions in the highly liquid market.