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Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers

Citations

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Cited by:

  1. Watson, Ethan D. & Woods, Donovan, 2022. "Exchange introduction and market competition: The entrance of MEMX and MIAX," Global Finance Journal, Elsevier, vol. 54(C).
  2. Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2017. "Dark pool trading strategies, market quality and welfare," Journal of Financial Economics, Elsevier, vol. 124(2), pages 244-265.
  3. Baruch, Shmuel & Panayides, Marios & Venkataraman, Kumar, 2017. "Informed trading and price discovery before corporate events," Journal of Financial Economics, Elsevier, vol. 125(3), pages 561-588.
  4. Eric Ghysels & Giang Nguyen, 2019. "Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange," JRFM, MDPI, vol. 12(4), pages 1-26, October.
  5. Roberto Riccò & Barbara Rindi & Duane J. Seppi, 2020. "Information, Liquidity, and Dynamic Limit Order Markets," Working Papers 660, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  6. Grimstvedt Meling, Tom, 2017. "Anonymous trading in equities," Working Papers in Economics 7/17, University of Bergen, Department of Economics.
  7. Aghanya, Daniel & Agarwal, Vineet & Poshakwale, Sunil, 2020. "Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity," Journal of Banking & Finance, Elsevier, vol. 113(C).
  8. Comerton-Forde, Carole & Putniņš, Tālis J., 2015. "Dark trading and price discovery," Journal of Financial Economics, Elsevier, vol. 118(1), pages 70-92.
  9. Corey Garriott & Adrian Walton, 2016. "Retail Order Flow Segmentation," Staff Working Papers 16-20, Bank of Canada.
  10. Jonathan Brogaard & Jing Pan, 2022. "Dark Pool Trading and Information Acquisition," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2625-2666.
  11. Hans Degryse & Frank de Jong & Vincent van Kervel, 2015. "The Impact of Dark Trading and Visible Fragmentation on Market Quality," Review of Finance, European Finance Association, vol. 19(4), pages 1587-1622.
  12. Duong, Huu Nhan & Kalev, Petko S. & Tian, Xiao Jason, 2022. "Does the bid–ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
  13. Bayona, Anna & Dumitrescu, Ariadna & Manzano, Carolina, 2023. "Information and optimal trading strategies with dark pools," Economic Modelling, Elsevier, vol. 126(C).
  14. Luke M. Bennett & Wei Hu, 2023. "Filtration enlargement‐based time series forecast in view of insider trading," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 112-140, February.
  15. Shih-Ping Chang & Cheng-Huei Chiao & Chiou-Fa Lin, 2025. "Transparency, Trading Information and Price Discovery: Evidence from an Emerging Stock Market," International Journal of Finance, CARI Journals Limited, vol. 10(8), pages 90-108.
  16. Apergis, Nicholas & Voliotis, Dimitrios, 2015. "Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 101-106.
  17. 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.
  18. Chih‐Chung Chien & Shikuan Chen & Ming‐Jen Chang, 2023. "A span of continuous trades and liquidity dynamics in foreign exchange markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 144-168, January.
  19. Menkveld, Albert J. & Yueshen, Bart Zhou & Zhu, Haoxiang, 2017. "Shades of darkness: A pecking order of trading venues," Journal of Financial Economics, Elsevier, vol. 124(3), pages 503-534.
  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. Halim, Edward & Riyanto, Yohanes E. & Roy, Nilanjan & Wang, Yan, 2022. "The Bright Side of Dark Markets: Experiments," MPRA Paper 111803, University Library of Munich, Germany.
  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. repec:uts:finphd:34 is not listed on IDEAS
  24. Nguyet Nguyen, 2022. "Informed Trading in Dark Pools: Fair-Access Dark Venue vs. Restricted-Access Dark Venues," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-37, June.
  25. Dimpfl, Thomas & Peter, Franziska J., 2021. "Nothing but noise? Price discovery across cryptocurrency exchanges," Journal of Financial Markets, Elsevier, vol. 54(C).
  26. Takumi Sueshige & Kiyoshi Kanazawa & Hideki Takayasu & Misako Takayasu, 2018. "Ecology of trading strategies in a forex market for limit and market orders," PLOS ONE, Public Library of Science, vol. 13(12), pages 1-14, December.
  27. Ekanayake, Deelaka & Smales, Lee A. & Wen, Yuanji, 2024. "The relevance of dark trading for information acquisition in the German stock market," Finance Research Letters, Elsevier, vol. 69(PB).
  28. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  29. Michael J Fleming & Giang Nguyen, 2019. "Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 9(2), pages 256-295.
  30. Fleming, Michael J. & Mizrach, Bruce & Nguyen, Giang, 2018. "The microstructure of a U.S. Treasury ECN: The BrokerTec platform," Journal of Financial Markets, Elsevier, vol. 40(C), pages 2-22.
  31. 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).
  32. Attig, Najah & El Ghoul, Sadok, 2021. "Flying under the radar: The real effects of anonymous trading," Journal of Corporate Finance, Elsevier, vol. 71(C).
  33. Hendershott, Terrence & Wee, Marvin & Wen, Yuanji, 2022. "Transparency in fragmented markets: Experimental evidence," Journal of Financial Markets, Elsevier, vol. 59(PA).
  34. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017, January-A.
  35. Evangelos Benos & Anne Wetherilt & Filip Zikes, 2013. "Financial Stability Paper No 25: The structure and dynamics of the UK CDS market," Bank of England Financial Stability Papers 25, Bank of England.
  36. Yang, Shanxiang & Liu, Zhechen & Wang, Xinjie, 2020. "News sentiment, credit spreads, and information asymmetry," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  37. Pastushkov, Aleksei & Boulatov, Alexei, 2025. "Pseudo-collusion in a centralized algorithmic financial market," Finance Research Letters, Elsevier, vol. 83(C).
  38. Aitken, Michael & Chen, Haoming & Foley, Sean, 2017. "The impact of fragmentation, exchange fees and liquidity provision on market quality," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 140-160.
  39. Paul Mizen & Veronica Veleanu, 2015. "On the Information Flow from Credit Derivatives to the Macroeconomy," Discussion Papers 2015/21, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  40. 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.
  41. 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).
  42. Marvin Wee & Joey W. Yang, 2016. "The Evolution of Informed Liquidity Provision: Evidence from an Order†driven Market," European Financial Management, European Financial Management Association, vol. 22(5), pages 882-915, November.
  43. Michael Brolley & Marius Zoican, 2019. "Liquid Speed: On-Demand Fast Trading at Distributed Exchanges," Papers 1907.10720, arXiv.org.
  44. 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.
  45. Lee, Albert J. & Chung, Kee H., 2022. "Hidden liquidity, market quality, and order submission strategies," Journal of Financial Markets, Elsevier, vol. 61(C).
  46. Rzayev, Khaladdin & Savaser, Tanseli & Sisli-Ciamarra, Elif, 2025. "Dark Trading and Stock-based CEO Pay," Journal of Corporate Finance, Elsevier, vol. 94(C).
  47. Vincent Grégoire & Charles Martineau, 2022. "How is Earnings News Transmitted to Stock Prices?," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 60(1), pages 261-297, March.
  48. Hörner, Johannes & Lovo, Stefano & Tomala, Tristan, 2018. "Belief-free price formation," Journal of Financial Economics, Elsevier, vol. 127(2), pages 342-365.
  49. Aleksei Pastushkov, 2024. "Market efficiency, informational asymmetry and pseudo-collusion of adaptively learning agents," Papers 2411.05032, arXiv.org.
  50. 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.
  51. Corey Garriot & Ryan Riordan, 2020. "Trading on Long-term Information," Staff Working Papers 20-20, Bank of Canada.
  52. Ibikunle, Gbenga & Li, Youwei & Mare, Davide & Sun, Yuxin, 2021. "Dark matters: The effects of dark trading restrictions on liquidity and informational efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  53. Cox, Justin S., 2022. "The impact of reporting changes on hidden liquidity: Evidence from the Chicago stock exchange," Global Finance Journal, Elsevier, vol. 53(C).
  54. Gonçalves, Jorge & Kräussl, Roman & Levin, Vladimir, 2023. "Dark trading and financial markets stability," CFS Working Paper Series 691, Center for Financial Studies (CFS).
  55. Corey Garriott & Anna Pomeranets & Joshua Slive & Thomas Thorn, 2013. "Fragmentation in Canadian Equity Markets," Bank of Canada Review, Bank of Canada, vol. 2013(Autumn), pages 20-29.
  56. Michael Brolley, 2020. "Price Improvement and Execution Risk in Lit and Dark Markets," Management Science, INFORMS, vol. 66(2), pages 863-886, February.
  57. Anagnostidis, Panagiotis & Papachristou, George & Varsakelis, Christos, 2019. "Market quality and dark trading in the post MiFID II era: What have we learned so far?," Economics Letters, Elsevier, vol. 184(C).
  58. 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.
  59. Farley, Ryan & Kelley, Eric K. & Puckett, Andy, 2025. "Dark trading volume and market quality: A natural experiment," Journal of Corporate Finance, Elsevier, vol. 91(C).
  60. Foley, Sean & Putniņš, Tālis J., 2016. "Should we be afraid of the dark? Dark trading and market quality," Journal of Financial Economics, Elsevier, vol. 122(3), pages 456-481.
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