Size Clustering in the FTSE100 Index Futures Market

摘要

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 novel in its investigation of size clustering in a futures market. We find that trade sizes cluster in a manner that is similar to the pattern of price clustering found in many financial markets. Importantly, we identify a trade-off between size resolution and price resolution. We also find that the number of distinct trade sizes increases with trade frequency and with intra-day volatility, and increases at the end of each calendar quarter.