Hidden Liquidity in a Pure Order-Driven Market

This letter focuses on hidden orders and shows how they contribute to liquidity.

Author(s):

Rudy De Winne

Professor of Finance, Catholic University of Mons, Belgium

Catherine Dhondt

Associate Professor, EDHEC Business School

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.
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Hidden Liquidity in a Pure Order-Driven Market...
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Type: Working paper
Date: le 06/04/2009
Extra information : Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu ] Les opinions exprimées sont celles des auteurs et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

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