Article ID Journal Published Year Pages File Type
5085093 International Review of Financial Analysis 2013 12 Pages PDF
Abstract
► We study differences in trading costs between market maker and order book trades. ► The realised spread measure is lower for off-book trades. ► Order book trade size clustering is not associated with transaction cost differences. ► Market maker trades in popular sizes carry more information than non-clustered trades. ► We show that price and size clustering tend to occur simultaneously.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Trade size clustering and the cost of trading at the London Stock Exchange
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