作者：Goldstein, Itay; Spatt, Chester S.; Ye, Mao
作者单位：University of Pennsylvania; National Bureau of Economic Research; Carnegie Mellon University; Cornell University
摘要：The second special issue on big data in finance showcases advancements in research related to data of large size, high dimension, and complex structure since the first NBER/RFS big data conference. The papers published in this next chapter address some questions that were proposed in the initial special issue in 2021. Other papers are more directly connected to recent developments in the markets. We discuss some new research directions, following on the papers published here. They include eval...
作者：Bartlett, Robert P.; Mccrary, Justin; O'Hara, Maureen
作者单位：Stanford University; Columbia University; National Bureau of Economic Research; Cornell University
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...
