EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/56742
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorHautsch, Nikolausen_US
dc.contributor.authorHuang, Ruihongen_US
dc.date.accessioned2012-02-09en_US
dc.date.accessioned2012-04-05T16:21:31Z-
dc.date.available2012-04-05T16:21:31Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/56742-
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.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2012-014en_US
dc.subject.jelG14en_US
dc.subject.jelC24en_US
dc.subject.jelC25en_US
dc.subject.jelG17en_US
dc.subject.ddc330en_US
dc.subject.keywordlimit order marketen_US
dc.subject.keywordhidden liquidityen_US
dc.subject.keywordhigh-frequency tradingen_US
dc.subject.keywordnon-display orderen_US
dc.subject.keywordiceberg ordersen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwBörsenumsatzen_US
dc.subject.stwMikrostrukturanalyseen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwUSAen_US
dc.titleOn the dark side of the market: Identifying and analyzing hidden order placementsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn685026957en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
685026957.pdf624.88 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.