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Undisclosed orders and optimal submission strategies in a limit order market

Buti, Sabrina; Rindi, Barbara - In: Journal of financial economics 109 (2013) 3, pp. 797-812

Persistent link: https://www.econbiz.de/10010205326

Commonality in ask-side vs. bid-side liquidity

Sensoy, Ahmet - In: Finance research letters 28 (2019), pp. 198-207

Persistent link: https://www.econbiz.de/10012388306

Optimal order display in limit order markets with liquidity competition

Cebiroglu, Gökhan; Horst, Ulrich - In: Journal of economic dynamics & control 58 (2015), pp. 81-100

Persistent link: https://www.econbiz.de/10011574644

Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?

Cebirogly, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2017

between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden … liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data …, we find strong empirical support and illustrate that hidden liquidity is higher if bid-ask spreads are smaller and …

Persistent link: https://www.econbiz.de/10011697233

Distilling liquidity costs from limit order books

Amaya, Diego; Filbien, Jean-Yves; Okou, Cédric; Roch, … - In: Journal of banking & finance 94 (2018), pp. 16-34

Persistent link: https://www.econbiz.de/10011965700

Dark Trading at the Midpoint : Pricing Rules, Order Flow, and High Frequency Liquidity Provision

Bartlett, Robert P, III. - 2015

national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …

Persistent link: https://www.econbiz.de/10012457381

Size-adapted bond liquidity measures and their asset pricing implications

Reichenbacher, Michael; Schuster, Philipp - In: Journal of financial economics 146 (2022) 2, pp. 425-443

Persistent link: https://www.econbiz.de/10013482286

Large orders in small markets : execution with endogenous liquidity supply

Capponi, Agostino; Menkveld, Albert J.; Zhang, Hongzhong - 2023

Persistent link: https://www.econbiz.de/10014327645

Optimal execution horizon

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 640-672

Persistent link: https://www.econbiz.de/10011350553

Information content of order imbalance in an order-driven market : Indian evidence

Tripathi, Abhinava; Dixit, Alok; Vipul - In: Finance research letters 41 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10013336223