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Les stratégies de placement d'ordres : le cas des ordres à quantité cachée

Author

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  • Juan Raposo

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

Dans ce papier, nous analysons les stratégies suivies par les investisseurs de grande taille, et en particulier celles utilisées par les donneurs d'ordres à quantité cachée, sur le marché parisien. A l'aide de données qui permettent de reconstituer le carnet d'ordres dans son ensemble, nous constatons que ce type d'investisseur utilise de véritables stratégies qui consistent à modifier plusieurs fois leurs instructions en fonction des conditions de marché. Les donneurs d'ordre à quantité cachée semblent être plus attentifs aux évolutions du marché que les donneurs d'ordre à cours limité simple, nous montrons, par exemple, qu'ils modifient deux fois plus leurs instructions.

Suggested Citation

  • Juan Raposo, 2003. "Les stratégies de placement d'ordres : le cas des ordres à quantité cachée," Post-Print halshs-00163255, HAL.
    • Handle: RePEc:hal:journl:halshs-00163255
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00163255
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    References listed on IDEAS

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