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Subject: Trade Size

  • Trade Size and the Changing Nature of Price Formation

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    Fall 2017

    Al-Haji, Ahmad

    Trading patterns in US financial markets have undergone significant changes in the past two decades. Using a 21-year (1993-2013) sample of intraday data, this thesis documents the ways in which the size distribution of trades—that is, the distribution of trades based on their dollar value—has...

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