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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

High-frequency trading and stock liquidity : an intraday analysis

Ben Ammar, Imen; Hellara, Slaheddine; Ghadhab, Imen - In: Research in international business and finance 53 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012549814

Intraday liquidity patterns in limit order books

Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71

Persistent link: https://www.econbiz.de/10010258798

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

Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-52

Persistent link: https://www.econbiz.de/10012819933

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