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| Author: | Bessembinder, H. Panayides, M. Venkataraman, K. |
| Title: | Hidden liquidity: an analysis of order exposure strategies in electronic stock markets |
| Journal: | Journal of Financial Economics
2009 : DEC, VOL 94:3, p. 361-383 |
| Index terms: | trading liquidity stock markets electronic commerce |
| Language: | eng |
| Abstract: | The purpose of the article is to explore the usage of hidden order sizes and the benefits and costs of order exposure. The authors examine Euronext-Paris stocks and find that hidden orders correlate with reduced probability of full execution as well as the average completion time. Exposing the order sizes seems to increase execution costs. In addition, the authors argue that the existence of hidden orders can be predicted based on order attributes, company characteristics and market conditions. It seems that for patient traders, the option to hide order size is valuable. |
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