Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/41392
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dc.contributor.authorFrey, Stefanen_US
dc.contributor.authorSandås, Patriken_US
dc.date.accessioned2010-10-28T14:43:00Z-
dc.date.available2010-10-28T14:43:00Z-
dc.date.issued2009en_US
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_US
dc.language.isoengen_US
dc.publisher|aCentre for Financial Research |cCologneen_US
dc.relation.ispartofseries|aCFR working paper |x09-06en_US
dc.subject.jelG10en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordHidden Liquidityen_US
dc.subject.keywordIceberg Ordersen_US
dc.subject.keywordLimit Order Marketsen_US
dc.subject.keywordTransparencyen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwBörsenumsatzen_US
dc.subject.stwMikrostrukturanalyseen_US
dc.subject.stwTheorieen_US
dc.titleThe impact of iceberg orders in limit order booksen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn605038759en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:0906-

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