While thinking about this, I have been troubled by the fact that I first stumbled upon "abnormal" trading activity on Brait (BAT) on 27 May last year. However, this wasn't a few big trades, but rather a non-stop barrage of small trades of exactly the same odd size (1113 or something) occurring throughout the day - certainly not "retail trading". I bought and the price shot up the next day. So while abnormal individual trade sizes may be an indicator sometimes, we also need to consider that institutions also appear to often break up large trades or use automated engines to trade. I will certainly explore this further, but for those with an appetite for 26 pages of complex maths and statistics, I have just found this. Interesting reading (well the conclusion anyway.): http://sbs-xnet.sbs.ox.ac.uk/tarun_ramadorai/TarunPapers/caughtontape.pdf
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