Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27224
Authors: 
Menkhoff, Lukas
Schmeling, Maik
Year of Publication: 
2009
Series/Report no.: 
Discussion papers // School of Economics and Management of the Hanover Leibniz University 415
Abstract: 
This paper shows how traders learn from post-trade identity disclosure in a currency limit order market. We establish that identity disclosure reveals information and show how traders react by reversing their order flow in line with the better informed. Informed traders primarily incorporate their own private as well as publicly available information into prices, whereas uninformed mainly magnify the effect of the informed. Within this framework, traders treat own and others? market orders as more informative than limit orders. We show that counterparty information drives out public information and that its value decays over time.
Subjects: 
Identity disclosure
order flow
informed trading
foreign exchange
JEL: 
G12
G15
D82
F31
Document Type: 
Working Paper

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