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On the dark side of the market : identifying and analyzing hidden order placements
Hautsch, Nikolaus; Huang, Ruihong - 2012
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...
Persistent link: https://www.econbiz.de/10009504616
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Four essays on the econometric analysis of high-frequency order data
Huang, Ruihong - 2012
Persistent link: https://www.econbiz.de/10009670513
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Decomposing liquidity along the limit order book
Rakowski, David; Beardsley, Xiaoxin Wang - In: Journal of banking & finance 32 (2008) 8, pp. 1687-1698
Persistent link: https://www.econbiz.de/10003749417
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Limit order trading and information asymmetry : empirical evidence about the evolution of liquidity on an order driven market
Allen, David E. (contributor); Yang, Joey W. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003760003
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Information asymmetries: three essays in market microstructure
Zehnder, Lars Simon - 2015
Persistent link: https://www.econbiz.de/10011443113
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Marktmikrostruktur und die aktienspezifische Aufmerksamkeit der Marktteilnehmer aus theoretischer und empirischer Sicht
Mehlhorn, Marc - 2018
Persistent link: https://www.econbiz.de/10011743615
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Does algorithmic trading improve liquidity?
Hendershott, Terrence; Jones, Charles M.; Menkveld, … - 2008
Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of electronic message traffic (order submissions,...
Persistent link: https://www.econbiz.de/10003831248
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On the dark side of the market : identifying and analyzing hidden order placements
Hautsch, Nikolaus; Huang, Ruihong - 2012 - First Version: December 2010, This Version: January 2012
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...
Persistent link: https://www.econbiz.de/10009487319
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Does algorithmic trading improve liquidity?
Hendershott, Terrence; Jones, Charles M.; Menkveld, … - In: The journal of finance : the journal of the American … 66 (2011) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10008991191
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Dark pools, fragmented markets, and the quality of price discovery
Schwartz, Robert A. - In: The journal of trading 13 (2018) 4, pp. 74-79
Persistent link: https://www.econbiz.de/10012016635