We study odd-lot trading and determine if an odd-lot trade results from odd-lot orders or if odd-lots are a result of orders broken into multiple trades. We confirm that odd-lot transactions contribute to price discovery. Our finding that odd-lot transactions contain substantial information is...

In this study we examine intense episodic spikes in quoting activity (frequently referred to as quote stuffing) on market conditions. We find that quote stuffing is pervasive and that over 74% of U.S. exchange-listed securities experienced at least one episode during 2010. We also find that...