Research and publications

Hidden Liquidity in a Pure Order-Driven Market

This letter focuses on hidden orders and shows how they contribute to liquidity. Based on a rebuilt order book from Euronext data, the part of liquidity which is not disclosed to market participants is described and its determinants are analyzed. A revisited version of this paper was published in the July 2006 issue of Finance Letters.

Author(s) :

Rudy De Winne, Catherine D’Hondt

Summary :

This letter focuses on hidden orders and shows how they contribute to liquidity. Based on a rebuilt order book from Euronext data, the part of liquidity which is not disclosed to market participants is described and its determinants are analyzed. A revisited version of this paper was published in the July 2006 issue of Finance Letters.

Register to download PDF

Register
Type : Working paper
Date : 07/07/2006
Keywords :

Operational Performance