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.

Type: Working paper
Date: le 06/04/2009
Research Cluster : Finance

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