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dc.contributor.authorCebiroğlu, Gökhanen_US
dc.contributor.authorHorst, Ulrichen_US
dc.date.accessioned2011-09-19en_US
dc.date.accessioned2012-04-05T16:12:39Z-
dc.date.available2012-04-05T16:12:39Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/56641-
dc.description.abstractWe develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions ('market impact') in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader's exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US S&P500 and how they scale with the state-of-the-book. We finally test the Iceberg's performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60%.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2011-057en_US
dc.subject.jelC51en_US
dc.subject.jelC60en_US
dc.subject.jelC67en_US
dc.subject.jelD01en_US
dc.subject.jelD4en_US
dc.subject.jelD49en_US
dc.subject.jelG1en_US
dc.subject.ddc330en_US
dc.subject.keywordhidden liquidityen_US
dc.subject.keywordIceberg Ordersen_US
dc.subject.keywordlimit order booken_US
dc.subject.keywordmarket impact of limit ordersen_US
dc.subject.keywordoptimal exposureen_US
dc.subject.keywordtrading strategiesen_US
dc.subject.keywordIceberg versus Limit Orderen_US
dc.subject.keywordpre-trade transparencyen_US
dc.subject.keywordagency-tradingen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwBörsenumsatzen_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwElektronisches Handelssystemen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwHochtechnologiesektoren_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleOptimal display of Iceberg ordersen_US
dc.typeWorking Paperen_US
dc.identifier.ppn668476885en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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