This letter focuses on hidden orders and shows how they contribute to liquidity.
Professor of Finance, Catholic University of Mons, Belgium
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 |
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Date: | le 06/04/2009 |
Research Cluster : | Finance |