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A survey of research into broker identity and limit order book

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Abstract

This survey summarizes and analyzes theoretical, empirical and experimental research that addresses limit order book transparency in securities markets. We conclude that changes in market design that alter transparency have far reaching but complex impacts on market quality, market efficiency and price discovery. We suggest that future research into the impact of transparency choices in market design should take a more holistic approach in which several aspects of market quality are considered, results are verified across different market segments impacted unequally, and, ideally, matching securities in other markets are used as controls. We consider what policy recommendations can be made based on current evidence and suggest what more research needs to be done.

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  • Pham, Thu Phuong & Westerholm, P. Joakim, 2013. "A survey of research into broker identity and limit order book," Working Papers 17212, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
    • Handle: RePEc:tas:wpaper:17212
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    File URL: http://eprints.utas.edu.au/17212/1/2013-14_Transparency_review_paper_February_22.pdf
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    More about this item

    Keywords

    Transparency; Opacity; Broker ID; Market Efficiency; Limit Order Book;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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