We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions ("market...

We take advantage of a unique data set, NASDAQ ModelView, to empirically analyze the determinants and the impact of hidden liquidity on public exchanges. Our findings are as follows. First, the cross-sectional presence of hidden liquidity is well explained by observable and readily available...