Thierry, FOUCAULT; Sophie, MOINAS; Erik, THEISSEN - HEC Paris (École des Hautes Études Commerciales) - 2003
We analyze the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which limit order traders have asymmetric information on the cost of limit order trading (which is determined by the exposure to informed trading). A thin limit order book signals to...