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The information content of special orders

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  • Duong, Huu Nhan
  • Lajbcygier, Paul
  • Vu, Van Hoang

Abstract

We consider the role of special orders in informed traders' order submission strategies and their effect on the market price discovery process. Special orders, such as Fill-and-Kill and All-or-Nothing orders, are not entered in the order book; instead, they are executed immediately. This means they do not require costly monitoring and are not visible to other traders. Due to the fact that informed institutional traders, including high-frequency traders, use aggressive special orders, they generate higher price impacts than normal orders, particularly in volatile markets.

Suggested Citation

  • Duong, Huu Nhan & Lajbcygier, Paul & Vu, Van Hoang, 2017. "The information content of special orders," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 68-81.
    • Handle: RePEc:eee:pacfin:v:45:y:2017:i:c:p:68-81
    DOI: 10.1016/j.pacfin.2016.05.012
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    More about this item

    Keywords

    Fill-and-Kill orders; All-or-Nothing orders; Institutional investors; Price impact; High frequency trading;
    All these keywords.

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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