Modernizing Odd Lot Trading

نویسندگان

چکیده

Traditional odd lot trades (i.e., involving fewer than 100 shares) now comprise over half of all equity on U.S. exchanges. Under Regulation National Market System, however, these are excluded from a market center’s trade execution statistics. In addition, while brokers required to consider quotes as part their duty best execution, formally the calculation national bid and offer. This Article, written for symposium Future Securities at Columbia Law School, examines whether regulatory exclusions increase costs retail filled in non-exchange venues. Across more 3 billion during 2020, venues received 10% less price improvement non-odd trades. using order book data Nasdaq, examination sample retail, two popular stocks — Amazon GameStop January 27, 2021 reveals that 31-46% would have better pricing had venue Nasdaq quote. These results suggest differential treatment lots round regulation structure may impair quality marketable orders traders.

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ژورنال

عنوان ژورنال: Social Science Research Network

سال: 2021

ISSN: ['1556-5068']

DOI: https://doi.org/10.2139/ssrn.3849763