TY  - UNPD
A1  - Frey, Stefan
A1  - Sandas, Patrik
T1  - The impact of hidden liquidity in limit order books
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,48
N2  - We report evidence that the presence of hidden liquidity is associated with greater liquidity in the order books, greater trading volume, and smaller price impact. Limit and market order submission behavior changes when hidden liquidity is present consistent with at least some traders being able to detect hidden liquidity. We estimate a model of liquidity provision that allows us to measure variations in the marginal and total payoffs from liquidity provision in states with and without hidden liquidity. Our estimates of the expected surplus to providers of visible and hidden liquidity are positive and typically of the order of one-half to one basis points per trade. The positive liquidity provider surpluses combined with the increased trading volume when hidden liquidity is present are both consistent with liquidity externalities.
T3  - CFS working paper series - 2008, 48 
KW  - Hidden Liquidity
KW  - Iceberg Orders
KW  - Hidden Orders
KW  - Reserve Orders
KW  - Limit Order Markets
KW  - Limit Order Books
KW  - Transparency
KW  - Liquidität
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/6190
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-62275
ER  -