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2012-02-09Buch DOI: 10.18452/4389
On the Dark Side of the Market
dc.contributor.authorHautsch, Nikolaus
dc.contributor.authorHuang, Ruihong
dc.date.accessioned2017-06-16T00:36:17Z
dc.date.available2017-06-16T00:36:17Z
dc.date.created2012-02-23
dc.date.issued2012-02-09
dc.date.submitted2012-02-09
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5041
dc.description.abstractTrading 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, we propose a simple method to conduct statistical inference on the location of hidden depth and to test economic hypotheses. Analyzing a wide cross-section of stocks, we show that market conditions reflected by the (visible) bid-ask spread, (visible) depth, recent price movements and trading signals significantly affect the aggressiveness of ’dark’ liquidity supply and thus the ’hidden spread’. Our evidence suggests that traders balance hidden order placements to (i) compete for the provision of (hidden) liquidity and (ii) protect themselves against adverse selection, front-running as well as ’hidden order detection strategies’ used by high-frequency traders. Accordingly, our results show that hidden liquidity locations are predictable given the observable state of the market.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectlimit order marketeng
dc.subjecthidden liquidityeng
dc.subjecthigh-frequency tradingeng
dc.subjectnon-display ordereng
dc.subjecticeberg orderseng
dc.subject.ddc330 Wirtschaft
dc.titleOn the Dark Side of the Market
dc.typebook
dc.subtitleIdentifying and Analyzing Hidden Order Placements
dc.identifier.urnurn:nbn:de:kobv:11-100199521
dc.identifier.doihttp://dx.doi.org/10.18452/4389
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages45
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2012
local.edoc.container-issue14
local.edoc.container-year2012
local.edoc.container-erstkatid2195055-6

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