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Hidden Limit Orders and Liquidity in Order Driven Markets
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Hidden Limit Orders and Liquidity in Order Driven Markets (2010)Hidden Limit Orders and Liquidity in Orde…Hidden liquidity: An analysis of order exposure strategies in electronic stock markets (2009)Hidden liquidity: An analysis…The information content of an open limit‐order book (2008)The information content of an…The navigation of an iceberg: The optimal use of hidden orders (2007)The navigation of an iceberg:…Hide-and-Seek in the Market: Placing and Detecting Hidden Orders (2007)Hide-and-Seek in the Market: …So What Orders Do Informed Traders Use?* (2006)So What Orders Do Informed Tr…Equilibrium in a Dynamic Limit Order Market (2005)Equilibrium in a Dynamic Limi…Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders (2005)Empirical evidence on the evo…Can order exposure be mandated? (2004)Can order exposure be mandate…Limit Orders and Volatility in a Hybrid Market: The Island Ecn (2002)Limit Orders and Volatility i…The use of undisclosed limit orders on the Australian Stock Exchange (2001)The use of undisclosed limit …Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Market Transparency: Who Wins and Who Loses? (1999)Market Transparency: Who Wins…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Order Exposure and Parasitic Traders (1997)Order Exposure and Parasitic …Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Financial Markets (1985)Financial MarketsContinuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)Inferring Trade Direction from Intraday Data (1991)Limit-order submission strategies under asymmetric information (2010)Liquidity and Information in Limit Order Markets (2019)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Limit Order Book as a Market for Liquidity (2005)A Dynamic Model of the Limit Order Book (2009)The Handbook of experimental economics (1995)Coordination of Expectations in Asset Pricing Experiments (2004)Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE (2005)How Noise Trading Affects Markets: An Experimental Analysis (2009)Commonality in liquidity (2000)Econometric Analysis of Cross Section and Panel Data (2001)Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers (2011)Undisclosed orders and optimal submission strategies in a limit order market (2013)Informed trading and price discovery before corporate events (2017)A Theory of Auctions and Competitive Bidding (1982)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Do Prices Reveal the Presence of Informed Trading? (2015)Statistical analysis of cointegration vectors (1988)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does Anonymity Matter in Electronic Limit Order Markets? (2007)DeepLOB: Deep Convolutional Neural Networks for Limit Order Books (2019)Do High-Frequency Traders Anticipate Buying and Selling Pressure? (2020)Informed traders and limit order markets (2009)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)Do Dark Pools Harm Price Discovery? (2013)The value effects of bank mergers and acquisitions (1998)War and the World Economy (2006)The Synthetic Situation: Interactionism for a Global World (2009)
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References

  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2005Equilibrium in a Dynamic Limit Order Market439 cited
  • 1999Market Transparency: Who Wins and Who Loses?390 cited
  • 2006So What Orders Do Informed Traders Use?*351 cited
  • 2008The information content of an open limit‐order book259 cited
  • 1985Financial Markets254 cited
  • 2005Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders178 cited
  • 2009Hidden liquidity: An analysis of order exposure strategies in electronic stock markets174 cited
  • 2002Limit Orders and Volatility in a Hybrid Market: The Island Ecn129 cited
  • 2007Hide-and-Seek in the Market: Placing and Detecting Hidden Orders105 cited
  • 2001The use of undisclosed limit orders on the Australian Stock Exchange94 cited
  • 1997Order Exposure and Parasitic Traders74 cited
  • 2004Can order exposure be mandated?70 cited
  • 2007

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The navigation of an iceberg: The optimal use of hidden orders
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