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.
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