Do investors choose trade-size according to liquidity, empirical evidence from the S&P 500 index future market

Abstract

Abstract We develop a three dimensional liquidity measure to study the interaction between liquidity and order flow in the E-mini S&P 500 index future market. We show that trade size is larger during periods of high liquidity. Particularly, the thicker the depth of the limit order book, the larger the resilience, the narrower the bid-ask spread, the larger the trade size could be.