This paper investigates fractional share trading. We develop a latency-based method for identifying a large sample of fractional share trades. We find that high-priced stocks, meme stocks, IPOs, SPACs, and popular retail stocks exhibit considerable numbers of these tiny trades. We surmise that this reflects dollar-based order entry, with many tiny trades being fractional components of larger orders. We show that our fractional trade measure is predictive of future liquidity and volatility, suggesting a new metric to capture the information in retail trades. We identify how data and reporting protocols preclude knowing the extent of fractional share trading, inflate volume data, and provide censured samples of these off-exchange trades.

中文翻译：

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小交易，大问题：零碎股票


本文研究了碎股交易。我们开发了一种基于延迟的方法来识别大量的碎股交易样本。我们发现高价股票、meme 股票、IPO、SPAC 和受欢迎的零售股票都表现出相当数量的此类微小交易。我们推测这反映了基于美元的订单输入，许多小额交易是较大订单的一小部分。我们表明，我们的部分贸易指标可以预测未来的流动性和波动性，这提出了一种捕捉零售交易信息的新指标。我们确定数据和报告协议如何妨碍了解零碎股票交易的范围、夸大交易量数据，并提供这些场外交易的受审查样本。