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|
|Date :||le 06/04/2009|
|Pôle de recherche||Finance|