The Market Inside the Market: Odd-Lot Quotes
Document Type
Article
Publication Date
3-2025
Abstract
We show current market practices relating to odd-lot quotes create a large “inside” market where better prices routinely exist relative to the National Best Bid or Offer. We show that odd-lot quotes play a price discovery role, and these quotes provide valuable information to traders with access to proprietary data feeds. Using a XGBoost machine learning algorithm that uses odd-lot data to predict future prices, we demonstrate a simple and profitable trading strategy. We argue the SEC’s proposed round-lot redefinition reduces — but does not eliminate — the high incidence of superior odd-lot quotes within the NBBO.
Disciplines
Banking and Finance Law | Law | Securities Law
Recommended Citation
Robert P. Bartlett, Justin McCrary & Maureen O'Hara,
The Market Inside the Market: Odd-Lot Quotes,
38
Rev. Fin. Stud.
661
(2025).
Available at:
https://scholarship.law.columbia.edu/faculty_scholarship/4176