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| Author: | Winne, R. de D'Hondt, C. |
| Title: | Hide-and-seek in the market: Placing and detecting hidden orders |
| Journal: | Review of finance
2007 : DEC, VOL. 11:4, p. 663-692 |
| Index terms: | financial markets risk management securities trading models |
| Language: | eng |
| Abstract: | This paper examines why traders hide their orders and how other traders respond to hidden depth (here as: h-d). Using a logit model, empirical findings are provided suggesting that traders use hidden orders to manage both exposure risk and picking off risk. Based on probit models, it is shown that h-d. increases order aggressiveness. The interpretation of empirical evidence is 3-fold etc. |
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