Market Transparency and Traders ’ Behavior : An Analysis on Euronext with Full Order Book Data

@inproceedings{Winne2005MarketTA,
  title={Market Transparency and Traders ’ Behavior : An Analysis on Euronext with Full Order Book Data},
  author={Rudy De Winne and Catherine D’Hondt},
  year={2005}
}
  • Rudy De Winne, Catherine D’Hondt
  • Published 2005
More and more order-driven markets now allow traders to submit hidden orders. This widespread practice results in the presence of quantities which are available in the limit order book but not disclosed to market participants. The main contribution of this paper is to show how this unobservable information affects traders’ behavior. Extending previous empirical analyzes on order aggressiveness, we evidence that traders account not only for information displayed on the market screens but also… CONTINUE READING