Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22469
Authors: 
Menkhoff, Lukas
Schmeling, Maik
Year of Publication: 
2007
Series/Report no.: 
Diskussionspapiere des Fachbereichs Wirtschaftswissenschaften, Universität Hannover 357
Abstract: 
This paper contributes empirically to our understanding of informed traders. It analyzes traders? characteristics in an electronic limit order market via anonymous trader identities. We use six indicators of informed trading in a cross-sectional multivariate approach to identify traders with high price impact. More information is conveyed by those traders? trades who?simultaneously?use medium-sized orders (practice stealth trading), have large trading volume, are located in a financial center, trade early in the trading session, at times of wide spreads and when the order book is thin.
Subjects: 
Market microstructure
informed trading
trade size
foreign exchange
JEL: 
F31
G12
D82
G15
Document Type: 
Working Paper

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