Pre-Trade Transparency and Informed Trading an Experimental Approach to Hidden Liquidity
No abstract is available for this item.
|Date of creation:||2012|
|Date of revision:|
|Contact details of provider:|| Postal: Coventry, CV4 7AL|
Phone: +44 (0)24 76524118
Fax: +44 (0)24 76524167
Web page: http://web.warwick.ac.uk/fac/soc/financeRepec/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Angel Pardo & Roberto Pascual, 2012. "On the hidden side of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 949-967, November.
- Degryse, H.A., 1996.
"The total cost of trading Belgian shares : Brussels versus London,"
1996-105, Tilburg University, Center for Economic Research.
- Degryse, Hans, 1999. "The total cost of trading Belgian shares: Brussels versus London," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1331-1355, September.
- Degryse, Hans, 1997. "The Total Cost of Trading Belgian Shares: Brussels versus London," CEPR Discussion Papers 1581, C.E.P.R. Discussion Papers.
- Plott, Charles R & Sunder, Shyam, 1982.
"Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models,"
Journal of Political Economy,
University of Chicago Press, vol. 90(4), pages 663-98, August.
- Plott, Charles R. & Sunder, Shyam., . "Efficiency of Experimental Security Markets with Insider Information: An Application of Rational Expectations Models," Working Papers 331, California Institute of Technology, Division of the Humanities and Social Sciences.
- Reuben, Ernesto & Sapienza, Paola & Zingales, Luigi, 2008.
"Time discounting for primary and monetary rewards,"
10650, University Library of Munich, Germany.
- Charles A. Holt & Susan K. Laury, 2002. "Risk Aversion and Incentive Effects," American Economic Review, American Economic Association, vol. 92(5), pages 1644-1655, December.
- Nikolaus Hautsch & Ruihong Huang, 2012.
"On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements,"
SFB 649 Discussion Papers
SFB649DP2012-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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).
- Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010.
"Limit-order submission strategies under asymmetric information,"
Journal of Banking & Finance,
Elsevier, vol. 34(11), pages 2665-2677, November.
- Lukas Menkhoff & Carol L. Osler & Maik Schmeling, 2010. "Limit-Order Submission Strategies under Asymmetric Information," CESifo Working Paper Series 3054, CESifo Group Munich.
- Barbara Rindi, 2008. "Informed Traders as Liquidity Providers: Anonymity, Liquidity and Price Formation," Review of Finance, European Finance Association, vol. 12(3), pages 497-532.
- Hendershott, Terrence & Jones, Charles M. & Menkveld, Albert J., 2008.
"Does algorithmic trading improve liquidity?,"
CFS Working Paper Series
2008/41, Center for Financial Studies (CFS).
- Bloomfield, Robert & O'Hara, Maureen & Saar, Gideon, 2005. "The "make or take" decision in an electronic market: Evidence on the evolution of liquidity," Journal of Financial Economics, Elsevier, vol. 75(1), pages 165-199, January.
- Madhavan, Ananth & Porter, David & Weaver, Daniel, 2005. "Should securities markets be transparent?," Journal of Financial Markets, Elsevier, vol. 8(3), pages 265-287, August.
- de Jong,Frank & Rindi,Barbara, 2009.
"The Microstructure of Financial Markets,"
Cambridge University Press, number 9780521687270, November.
- Parlour, Christine A, 1998. "Price Dynamics in Limit Order Markets," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 789-816.
- Bloomfield, Robert & O'Hara, Maureen, 1999. "Market Transparency: Who Wins and Who Loses?," Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 5-35.
- Esser, Angelika & Monch, Burkart, 2007. "The navigation of an iceberg: The optimal use of hidden orders," Finance Research Letters, Elsevier, vol. 4(2), pages 68-81, June.
- Moinas, Sophie, 2010.
"Hidden Limit Orders and Liquidity in Order Driven Markets,"
IDEI Working Papers
600, Institut d'Économie Industrielle (IDEI), Toulouse.
- Moinas, Sophie, 2010. "Hidden Limit Orders and Liquidity in Order Driven Markets," TSE Working Papers 10-147, Toulouse School of Economics (TSE).
- Kroll, Yoram & Levy, Haim, 1992. "Further Tests of the Separation Theorem and the Capital Asset Pricing Model," American Economic Review, American Economic Association, vol. 82(3), pages 664-70, June.
- Biais, Bruno & Hilton, Denis & Mazurier, Karine & Pouget, Sébastien, 2004.
"Judgmental Overconfidence, Self-Monitoring and Trading Performance in an Experimental Financial Market,"
IDEI Working Papers
259, Institut d'Économie Industrielle (IDEI), Toulouse.
- Bruno Biais & Denis Hilton & Karine Mazurier & Sébastien Pouget, 2005. "Judgemental Overconfidence, Self-Monitoring, and Trading Performance in an Experimental Financial Market," Review of Economic Studies, Oxford University Press, vol. 72(2), pages 287-312.
- Sabrina Buti & Barbara Rindi, 2011. "Undisclosed Orders and Optimal Submission Strategies in a Dynamic Limit Order Market," Working Papers 389, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Foucault, Thierry, 1999. "Order flow composition and trading costs in a dynamic limit order market1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 99-134, May.
- Goettler, Ronald L. & Parlour, Christine A. & Rajan, Uday, 2009. "Informed traders and limit order markets," Journal of Financial Economics, Elsevier, vol. 93(1), pages 67-87, July.
- Rudy De Winne & Catherine D'hondt, 2007. "Hide-and-Seek in the Market: Placing and Detecting Hidden Orders," Review of Finance, European Finance Association, vol. 11(4), pages 663-692.
- Aitken, Michael J. & Berkman, Henk & Mak, Derek, 2001. "The use of undisclosed limit orders on the Australian Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1589-1603, August.
- Bidisha Chakrabarty & Kenneth W. Shaw, 2008. "Hidden Liquidity: Order Exposure Strategies Around Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9-10), pages 1220-1244.
- Ron Kaniel & Hong Liu, 2006. "So What Orders Do Informed Traders Use?," The Journal of Business, University of Chicago Press, vol. 79(4), pages 1867-1914, July.
- 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.
- Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
When requesting a correction, please mention this item's handle: RePEc:wbs:wpaper:wpn12-05. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rong Leng)
If references are entirely missing, you can add them using this form.