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Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?

Gökhan Cebiroğlu et al.

Market Microstructure and Liquidity2019https://doi.org/10.1142/s2382626620500021preprint
ABDC B
Weight
0.26

What the paper says

We show that the excessive use of hidden orders causes artificial price pressures and abnormal asset returns. Using a simple game-theoretical setting, we demonstrate that this effect naturally arises from mis-coordination in trading schedules between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data, we find strong empirical support and illustrate that hidden liquidity is higher if bid–ask spreads are smaller and relative tick sizes are higher.

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https://doi.org/https://doi.org/10.1142/s2382626620500021

Or copy a formatted citation

@article{gökhan2019,
  title        = {{Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?}},
  author       = {Gökhan Cebiroğlu et al.},
  journal      = {Market Microstructure and Liquidity},
  year         = {2019},
  doi          = {https://doi.org/https://doi.org/10.1142/s2382626620500021},
}

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Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.