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dc.contributor.authorCebiroğlu, Gökhanen
dc.contributor.authorHorst, Ulrichen
dc.date.accessioned2011-09-19-
dc.date.accessioned2012-04-05T16:12:39Z-
dc.date.available2012-04-05T16:12:39Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2011-057en
dc.subject.jelC51en
dc.subject.jelC60en
dc.subject.jelC67en
dc.subject.jelD01en
dc.subject.jelD4en
dc.subject.jelD49en
dc.subject.jelG1en
dc.subject.ddc330en
dc.subject.keywordhidden liquidityen
dc.subject.keywordIceberg Ordersen
dc.subject.keywordlimit order booken
dc.subject.keywordmarket impact of limit ordersen
dc.subject.keywordoptimal exposureen
dc.subject.keywordtrading strategiesen
dc.subject.keywordIceberg versus Limit Orderen
dc.subject.keywordpre-trade transparencyen
dc.subject.keywordagency-tradingen
dc.subject.stwWertpapierhandelen
dc.subject.stwBörsenumsatzen
dc.subject.stwMarktliquiditäten
dc.subject.stwElektronisches Handelssystemen
dc.subject.stwBörsenkursen
dc.subject.stwHochtechnologiesektoren
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleOptimal display of Iceberg orders-
dc.typeWorking Paperen
dc.identifier.ppn668476885en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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