Size clustering in the FTSE100 index fut
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Owain ap Gwilym; Lei Meng
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Article
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2009
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John Wiley and Sons
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English
β 89 KB
π 1 views
## Abstract Recent literature has begun to explore size clustering in financial markets. If a market is perfectly liquid, traders should be able to trade the exact amount that they desire; however, the presence of size clustering may prevent them from achieving optimal trade sizes. This study is no