The Market Inside the Market: Odd-Lot Quotes

• 成果类型: Article
• 署名作者: Bartlett, Robert P.; Mccrary, Justin; O'Hara, Maureen
• 署名单位: Stanford University; Columbia University; National Bureau of Economic Research; Cornell University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad074
• 发表日期: 2025
• 页码: 661
• 关键词: Price information; TICK SIZE; liquidity

摘要

We show current market practices relating to odd-lot quotes create a large inside market where better prices routinely exist relative to the National Best Bid or Offer. We show that odd-lot quotes play a price discovery role, and these quotes provide valuable information to traders with access to proprietary data feeds. Using a XGBoost machine learning algorithm that uses odd-lot data to predict future prices, we demonstrate a simple and profitable trading strategy. We argue the SEC's proposed round-lot redefinition reduces-but does not eliminate-the high incidence of superior odd-lot quotes within the NBBO.