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You can't always get what you want: Trade-size clustering and quantity choice in liquidity

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  • Moulton, Pamela C.
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  • Moulton, Pamela C., 2005. "You can't always get what you want: Trade-size clustering and quantity choice in liquidity," Journal of Financial Economics, Elsevier, vol. 78(1), pages 89-119, October.
    • Handle: RePEc:eee:jfinec:v:78:y:2005:i:1:p:89-119
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    References listed on IDEAS

    as
    1. Chan, Kalok & Fong, Wai-Ming, 2000. "Trade size, order imbalance, and the volatility-volume relation," Journal of Financial Economics, Elsevier, vol. 57(2), pages 247-273, August.
    2. Martin D.D. Evans & Richard K. Lyons, 2017. "Order Flow and Exchange Rate Dynamics," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 6, pages 247-290, World Scientific Publishing Co. Pte. Ltd..
    3. Bessembinder, Hendrik, 1994. "Bid-ask spreads in the interbank foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 35(3), pages 317-348, June.
    4. Dominguez, Kathryn M., 1998. "Central bank intervention and exchange rate volatility1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 161-190, February.
    5. Christie, William G & Schultz, Paul H, 1994. "Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?," Journal of Finance, American Finance Association, vol. 49(5), pages 1813-1840, December.
    6. Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
    7. Conrad, Jennifer S & Hameed, Allaudeen & Niden, Cathy, 1994. "Volume and Autocovariances in Short-Horizon Individual Security Returns," Journal of Finance, American Finance Association, vol. 49(4), pages 1305-1329, September.
    8. Grossman, Sanford J & Miller, Merton H & Cone, Kenneth R & Fischel, Daniel R & Ross, David J, 1997. "Clustering and Competition in Asset Markets," Journal of Law and Economics, University of Chicago Press, vol. 40(1), pages 23-60, April.
    9. Kenneth A. Kavajecz, 2004. "Technical Analysis and Liquidity Provision," The Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 1043-1071.
    10. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-651.
    11. Kandel, Shmuel & Sarig, Oded & Wohl, Avi, 2001. "Do investors prefer round stock prices? Evidence from Israeli IPO auctions," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1543-1551, August.
    12. Thomas H. McInish & Robert A. Wood, 1991. "Hourly Returns, Volume, Trade Size, And Number Of Trades," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(4), pages 303-315, December.
    13. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    14. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351.
    15. Brown, Stephen J. & Steenbeek, Onno W., 2001. "Doubling: Nick Leeson's trading strategy," Pacific-Basin Finance Journal, Elsevier, vol. 9(2), pages 83-99, April.
    16. Carol L. Osler, 2003. "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis," Journal of Finance, American Finance Association, vol. 58(5), pages 1791-1819, October.
    17. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    18. Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
    19. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
    20. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
    21. Thomas H. McInish & Robert A. Wood, 1991. "Hourly Returns, Volume, Trade Size, And Number Of Trades," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(4), pages 303-315, December.
    22. Brennan, Michael J & Subrahmanyam, Avanidhar, 1998. "The Determinants of Average Trade Size," The Journal of Business, University of Chicago Press, vol. 71(1), pages 1-25, January.
    23. Spiegel, Matthew & Subrahmanyam, Avanidhar, 1992. "Informed Speculation and Hedging in a Noncompetitive Securities Market," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 307-329.
    24. William J. Breen & Laurie Simon Hodrick & Robert A. Korajczyk, 2002. "Predicting Equity Liquidity," Management Science, INFORMS, vol. 48(4), pages 470-483, April.
    25. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
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    27. Paul Mizen (ed.), 2003. "Monetary History, Exchange Rates and Financial Markets," Books, Edward Elgar Publishing, number 2818.
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