Foucault, Thierry; Moinas, Sophie; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2005
As of April 23, 2001, the limit order book for stocks listed on Euronext Paris became anonymous. We study the effect of this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis is based on a model of limit order trading in which...
