Abstract
Do trade size preferences exist in cryptocurrencies? Using high-frequency tick-by-tick data of cryptocurrencies, we examine what trade sizes contribute to daily cumulative price changes, viz. small, medium, and large. We employ robust estimations and document the presence of informed trading in the cryptocurrency asset class, and this is specifically translated via medium and small trades. We provide evidence to support the presence of stealth trading in cryptocurrencies. Our results contradict the prevailing view that informed trades in the cryptocurrency market occur via large trades.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
