Hidden Liquidity: Some New Light on Dark Trading
49 Pages Posted: 6 Dec 2011 Last revised: 12 Mar 2012
Date Written: December 5, 2011
Abstract
We use a laboratory market to investigate how the ability to hide orders affects traders’ strategies and market outcomes. We examine three market structures: Visible markets in which all orders must be displayed, Iceberg markets in which a minimum size must be displayed, and Hidden markets in which orders can be displayed, partially displayed, or completely non-displayed. We find that although order strategies are greatly affected by allowing hidden liquidity, most market outcomes are not. Our results on the robustness of informational efficiency and liquidity to opacity regimes have important regulatory implications for debates surrounding dark trading.
Suggested Citation: Suggested Citation
Here is the Coronavirus
related research on SSRN
Recommended Papers
-
Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets
By Hendrik Bessembinder, Marios A. Panayides, ...
-
The Impact of Iceberg Orders in Limit Order Books
By Stefan Frey and Patrik Sandås
-
Supply and Information Content of Order Book Depth: The Case of Displayed and Hidden Depth
By Klaus Belter
-
Optimal Order Exposure and the Market Impact of Limit Orders
By Gökhan Cebiroglu and Ulrich Horst
-
Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers
By Alex Boulatov and Thomas J. George
-
On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements
By Nikolaus Hautsch and Ruihong Huang
-
Does Hidden Liquidity Harm Price Efficiency?
By Gökhan Cebiroglu, Nikolaus Hautsch, ...
-
The Friction-Free Weighted Price Contribution
By David Abad and Roberto Pascual
-
Informed Trading and Price Discovery before Corporate Events
By Shmuel Baruch, Marios A. Panayides, ...
