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dc.contributor.authorHautsch, Nikolausen
dc.contributor.authorHuang, Ruihongen
dc.date.accessioned2012-02-09-
dc.date.accessioned2012-04-05T16:21:31Z-
dc.date.available2012-04-05T16:21:31Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2012-014en
dc.subject.jelG14en
dc.subject.jelC24en
dc.subject.jelC25en
dc.subject.jelG17en
dc.subject.ddc330en
dc.subject.keywordlimit order marketen
dc.subject.keywordhidden liquidityen
dc.subject.keywordhigh-frequency tradingen
dc.subject.keywordnon-display orderen
dc.subject.keywordiceberg ordersen
dc.subject.stwWertpapierhandelen
dc.subject.stwMarktliquiditäten
dc.subject.stwBörsenumsatzen
dc.subject.stwMikrostrukturanalyseen
dc.subject.stwAktienmarkten
dc.subject.stwUSAen
dc.titleOn the dark side of the market: Identifying and analyzing hidden order placements-
dc.typeWorking Paperen
dc.identifier.ppn685026957en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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