scholarly journals Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns

2020 ◽  
Author(s):  
Michael Melvin ◽  
Wenqiang Pan ◽  
Petra Wikstrom
Keyword(s):  
Trade Size

The Optimal Trade Size Choice of Informed Short Sellers

2008 ◽  
Author(s):  
Benjamin M. Blau ◽  
Bonnie F. Van Ness ◽  
Robert A. Van Ness
Keyword(s):  
Short Sellers ◽  
Trade Size

Stealth Trading in Options Markets

2007 ◽  
Vol 42 (1) ◽  
pp. 167-187 ◽  
Author(s):  
Amber Anand ◽  
Sugato Chakravarty
Keyword(s):  
Market Share ◽  
Price Discovery ◽  
High Volume ◽  
Medium Size ◽  
Options Markets ◽  
Information Share ◽  
Trade Size ◽  
Informed Traders

AbstractWe investigate how price discovery occurs in the options markets through traders' trade size choice. By employing transactions data on all options traded on a sample of 100 firms, we show that informed traders fragment their orders into small (medium) trades for low (high) volume contracts. We also find that almost 60% of the price discovery occurs in the exchange with the largest market share for a given option, where informed traders favor medium size trades. Upon examining distinct option series for a given stock, we find that at-the-money calls display the highest information share.

scholarly journals Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns

2020 ◽  
Vol 51 ◽  
pp. 100545 ◽  
Author(s):  
Michael Melvin ◽  
Wenqiang Pan ◽  
Petra Wikstrom
Keyword(s):  
Trade Size

The Determinants of Average Trade Size

1998 ◽  
Vol 71 (1) ◽  
pp. 1-25 ◽  
Author(s):  
Michael J. Brennan ◽  
Avanidhar Subrahmanyam
Keyword(s):  
Trade Size

Trade size, trade frequency, and the volatility‐volume relation

2005 ◽  
Vol 6 (5) ◽  
pp. 424-437 ◽  
Author(s):  
Frederick (Fengming) Song ◽  
Hui Tan ◽  
Yunfeng Wu
Keyword(s):  
Trade Size ◽  
Volume Relation
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