Human-To-Machine Trading: Historical Profiles for E-Mini S&P 500 (ES) and 10-Year (ZN) Futures Since 2012

Given the profound changes in microstructure variables and the rise of algorithmic trading over the years, we study changes in the trade size clustering across active contracts (ES and ZN) using ten years of data. Our latest research attributes round lots to human trading, whereas the non-round lot to machine-driven trading, and our findings show a comparison between human to machine trading patterns during moments of market turmoil.

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