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Dancing in the dark: post-trade anonymity, liquidity and informed trading

  • Alexandra Hachmeister
  • Dirk Schiereck

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s11156-010-0165-4
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    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 34 (2010)
    Issue (Month): 2 (February)
    Pages: 145-177

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    Handle: RePEc:kap:rqfnac:v:34:y:2010:i:2:p:145-177
    DOI: 10.1007/s11156-010-0165-4
    Contact details of provider: Web page: http://springer.com

    Order Information: Web: http://www.springer.com/finance/journal/11156/PS2

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    1. Grammig, J. & Schiereck, D. & Theissen, E., 2001. "Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35288, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    2. Easley, David & Kiefer, Nicholas M & O'Hara, Maureen, 1997. "One Day in the Life of a Very Common Stock," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 805-35.
    3. Frey, Stefan & Grammig, Joachim, 2005. "Liquidity supply and adverse selection in a pure limit order book market," CFR Working Papers 05-01, University of Cologne, Centre for Financial Research (CFR).
    4. Hans R. Stoll, 2000. "Presidential Address: Friction," Journal of Finance, American Finance Association, vol. 55(4), pages 1479-1514, 08.
    5. Thierry, FOUCAULT & Sophie, MOINAS & Erik, THEISSEN, 2003. "Does anonymity matter in electronic limit order markets ?," Les Cahiers de Recherche 784, HEC Paris.
    6. Ekkehart Boehmer & Gideon Saar & Lei Yu, 2005. "Lifting the Veil: An Analysis of Pre-trade Transparency at the NYSE," Journal of Finance, American Finance Association, vol. 60(2), pages 783-815, 04.
    7. Theissen, Erik, 2003. "Organized equity markets in Germany," CFS Working Paper Series 2003/17, Center for Financial Studies (CFS).
    8. Pietro Perotti & Barbara Rindi, 2006. "Market for Information and Identity Disclosure in an Experimental Open Limit Order Book," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 35(1), pages 97-119, 02.
    9. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    10. Easley, David, et al, 1996. " Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-36, September.
    11. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, EconWPA.
    12. Erik Theissen, 2002. "Trader Anonymity, Price Formation and Liquidity," Bonn Econ Discussion Papers bgse20_2002, University of Bonn, Germany.
    13. Madhavan, Ananth & Porter, David & Weaver, Daniel, 2005. "Should securities markets be transparent?," Journal of Financial Markets, Elsevier, vol. 8(3), pages 265-287, August.
    14. Stefan Frey & Joachim Grammig, 2006. "Liquidity supply and adverse selection in a pure limit order book market," Empirical Economics, Springer, vol. 30(4), pages 1007-1033, January.
    15. Victoria Saporta & Giorgio Trebeschi & Anne Vila, 1999. "Price formation and transparency on the London Stock Exchange," Bank of England working papers 95, Bank of England.
    16. Naik, Narayan Y & Neuberger, Anthony & Viswanathan, S, 1999. "Trade Disclosure Regulations in Markets with Negotiated Trades," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 873-900.
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