Undisclosed Orders and Market Quality

Jorgensen, Kjell

doi:10.2139/ssrn.2012480

Abstract

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Undisclosed Orders and Market Quality

Kjell Jorgensen

BI Norwegian Business School - Department of Financial Economics

December 2, 2011

Abstract:
This paper investigates the impact of undisclosed orders on market liquidity using an extensive dataset that covers more than seven years of order-book data. It tests most of the predictions of Buti and Rindi (2010) and finds that most of this models predictions are valid.In general it is found that undisclosed orders do not provide liquidity very often but when they do they provide a lot. As such, they provide market welfare and should be promoted by market regulators.

Number of Pages in PDF File: 80

Keywords: Market Microstructure, Market Quality, Undisclosed Orders

JEL Classification: G10, G19

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Date posted: March 1, 2012

Suggested Citation

Jorgensen, Kjell, Undisclosed Orders and Market Quality (December 2, 2011). Available at SSRN: http://ssrn.com/abstract=2012480 or http://dx.doi.org/10.2139/ssrn.2012480

Contact Information

Kjell Jorgensen (Contact Author)

BI Norwegian Business School - Department of Financial Economics ( email )

Nydalsveien 37
Oslo, 0442
Norway

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