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Hidden Limit Orders and Liquidity in Order Driven Markets

Citations

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Cited by:

  1. Cebiroğlu, Gökhan & Horst, Ulrich, 2012. "Hidden liquidity: Determinants and impact," SFB 649 Discussion Papers 2012-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  2. Egginton, Jared F. & McBrayer, Garrett A. & Watson, Ethan D., 2023. "Shades of trade: Dark trading and price efficiency," Journal of Banking & Finance, Elsevier, vol. 155(C).
  3. Hendershott, Terrence & Wee, Marvin & Wen, Yuanji, 2022. "Transparency in fragmented markets: Experimental evidence," Journal of Financial Markets, Elsevier, vol. 59(PA).
  4. repec:cty:dpaper:8121 is not listed on IDEAS
  5. Frey, Stefan & Sandås, Patrik, 2008. "The impact of hidden liquidity in limit order books," CFS Working Paper Series 2008/48, Center for Financial Studies (CFS).
  6. Kovaleva, Polina & Iori, Giulia, 2015. "The impact of reduced pre-trade transparency regimes on market quality," Journal of Economic Dynamics and Control, Elsevier, vol. 57(C), pages 145-162.
  7. repec:hum:wpaper:sfb649dp2012-023 is not listed on IDEAS
  8. Romans Pancs, 2014. "Workup," Review of Economic Design, Springer;Society for Economic Design, vol. 18(1), pages 37-71, March.
  9. Quanbiao Shang & Teresa Serra & Philip Garcia & Mindy Mallory, 2021. "Looking under the surface: An analysis of iceberg orders in the U.S. agricultural futures markets," Agricultural Economics, International Association of Agricultural Economists, vol. 52(4), pages 679-699, July.
  10. Degryse, Hans & Karagiannis, Nikolaos & Tombeur, Geoffrey & Wuyts, Gunther, 2021. "Two shades of opacity: Hidden orders and dark trading," Journal of Financial Intermediation, Elsevier, vol. 47(C).
  11. Alex Boulatov & Thomas J. George, 2013. "Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers," The Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 2096-2137.
  12. Bessembinder, Hendrik & Panayides, Marios & Venkataraman, Kumar, 2009. "Hidden liquidity: An analysis of order exposure strategies in electronic stock markets," Journal of Financial Economics, Elsevier, vol. 94(3), pages 361-383, December.
  13. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2022. "The dark side of IPOs: Examining where and who trades in the IPO secondary market," Financial Management, Financial Management Association International, vol. 51(4), pages 1091-1126, December.
  14. Lee, Albert J. & Chung, Kee H., 2022. "Hidden liquidity, market quality, and order submission strategies," Journal of Financial Markets, Elsevier, vol. 61(C).
  15. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011. "Sunshine trading: Flashes of trading intent at the NASDAQ," Working Paper 2011/17, Norges Bank.
  16. Sim, Min Kyu & Deng, Shijie, 2020. "Estimation of level-I hidden liquidity using the dynamics of limit order-book," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  17. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2011. "Dark Pool Trading Strategies," Working Papers 421, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  18. Jose S. Penalva & Mikel Tapia, 2021. "Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed," Applied Mathematical Finance, Taylor & Francis Journals, vol. 28(2), pages 143-177, March.
  19. Gozluklu, Arie E., 2016. "Pre-trade transparency and informed trading: Experimental evidence on undisclosed orders," Journal of Financial Markets, Elsevier, vol. 28(C), pages 91-115.
  20. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2014. "Dark Pool Trading Strategies, Market Quality and Welfare," Working Papers 530, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  21. Laura Delaney & Polina Kovaleva, 2017. "The dampening effect of iceberg orders on small traders’ welfare," Annals of Finance, Springer, vol. 13(4), pages 453-484, November.
  22. Chen, Yuanyuan & Gao, Xuefeng & Li, Duan, 2018. "Optimal order execution using hidden orders," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 89-116.
  23. Frey, Stefan & Sandås, Patrik, 2009. "The impact of iceberg orders in limit order books," CFR Working Papers 09-06, University of Cologne, Centre for Financial Research (CFR).
  24. Hautsch, Nikolaus & Huang, Ruihong, 2012. "On the dark side of the market: Identifying and analyzing hidden order placements," CFS Working Paper Series 2012/04, Center for Financial Studies (CFS).
  25. Stefan Frey & Patrik Sandås, 2017. "The Impact of Iceberg Orders in Limit Order Books," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(03), pages 1-43, September.
  26. repec:hum:wpaper:sfb649dp2012-014 is not listed on IDEAS
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