Hidden Liquidity in a Pure Order-Driven Market

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


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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