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dc.contributor.authorFrey, Stefanen
dc.contributor.authorSandås, Patriken
dc.date.accessioned2010-10-28T14:43:00Z-
dc.date.available2010-10-28T14:43:00Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/41392-
dc.description.abstractWe examine the impact of iceberg orders on the price and order flow dynamics in limit order books. Iceberg orders allow traders to simultaneously hide a large portion of their order size and signal their interest in trading to the market. We show that when the market learns about iceberg orders they tend to strongly attract market orders consistent with iceberg orders facilitating the search for latent liquidity. The greater the fraction of an iceberg order that is executed the smaller its price impact consistent with liquidity rather than informed trading. The presence of iceberg orders is associated with increased trading consistent with a positive liquidity externality, but the reduced order book transparency associated with iceberg orders also creates an adverse selection cost for limit orders that may partly offset any gains.en
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Centre for Financial Research (CFR) |cCologneen
dc.relation.ispartofseries|aCFR working paper |x09-06en
dc.subject.jelG10en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordHidden Liquidityen
dc.subject.keywordIceberg Ordersen
dc.subject.keywordLimit Order Marketsen
dc.subject.keywordTransparencyen
dc.subject.stwWertpapierhandelen
dc.subject.stwMarktliquiditäten
dc.subject.stwBörsenumsatzen
dc.subject.stwMikrostrukturanalyseen
dc.subject.stwTheorieen
dc.titleThe impact of iceberg orders in limit order books-
dc.type|aWorking Paperen
dc.identifier.ppn605038759en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfrwps:0906en

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