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Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers
16 references·16 citing·39 second hopsampled
Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers (2011)Hidden and Displayed Liquidity in Securit…Algorithmic Trading and Market Quality: International Evidence (2020)Algorithmic Trading and Marke…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…Low-Latency Trading (2011)Low-Latency TradingDoes Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Informed traders and limit order markets (2009)Informed traders and limit or…So What Orders Do Informed Traders Use?* (2006)So What Orders Do Informed Tr…Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE (2005)Lifting the Veil: An Analysis…The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)The “make or take” decision i…Competing Mechanisms in a Common Value Environment (2000)Competing Mechanisms in a Com…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Insider Trading, Liquidity, and the Role of the Monopolist Specialist (1989)Insider Trading, Liquidity, a…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Dark Pool Trading and Information Acquisition (2021)Dark Pool Trading and Informa…Nothing but noise? Price discovery across cryptocurrency exchanges (2020)Nothing but noise? Price disc…Price Improvement and Execution Risk in Lit and Dark Markets (2019)Price Improvement and Executi…Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity (2019)Market in Financial Instrumen…The microstructure of a U.S. Treasury ECN: The BrokerTec platform (2017)The microstructure of a U.S. …Informed trading and price discovery before corporate events (2017)Informed trading and price di…How Is Earnings News Transmitted to Stock Prices? (2017)How Is Earnings News Transmit…The impact of fragmentation, exchange fees and liquidity provision on market quality (2016)The impact of fragmentation, …The technological transformation of capital markets (2015)The technological transformat…Hidden Liquidity: Some New Light on Dark Trading (2015)Hidden Liquidity: Some New Li…Anonymous Trading in Equities (2015)Anonymous Trading in EquitiesThe Impact of Dark Trading and Visible Fragmentation on Market Quality (2011)The Impact of Dark Trading an…The Impact of Dark Trading and Visible Fragmentation on Market Quality (2011)The Impact of Dark Trading an…Hidden Liquidity: Some New Light on Dark Trading (2011)Hidden Liquidity: Some New Li…Dark Pool Trading Strategies, Market Quality and Welfare (2010)Dark Pool Trading Strategies,…The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform (2009)The Microstructure of a U.S. …A Theory of Intraday Patterns: Volume and Price Variability (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)High Frequency Trading and the New-Market Makers (2012)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Information aggregation in a noisy rational expectations economy (1981)Tests of microstructural hypotheses in the foreign exchange market (1995)Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)Trades, quotes, inventories, and information (1988)The Summary Informativeness of Stock Trades: An Econometric Analysis (1991)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)A Theory of Auctions and Competitive Bidding (1982)Order flow composition and trading costs in a dynamic limit order market (1999)Presidential Address: Friction (2000)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)High-Frequency Trading and Price Discovery (2014)Liquidity Risk and Expected Stock Returns (2003)The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)Limit order books (2013)News Trading and Speed (2015)The Handbook of experimental economics (1995)Do Investors Trade Too Much? (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)How Noise Trading Affects Markets: An Experimental Analysis (2009)A simple approximation of intraday spreads using daily data (2013)Noise Trader Risk in Financial Markets (1990)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 2011Low-Latency Trading880 cited
  • 1989Insider Trading, Liquidity, and the Role of the Monopolist Specialist517 cited
  • 2004The “make or take” decision in an electronic market: Evidence on the evolution of liquidity483 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market388 cited
  • 2005Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE362 cited
  • 2000Competing Mechanisms in a Common Value Environment353 cited
  • 2006So What Orders Do Informed Traders Use?*351 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market327 cited
  • 2020Algorithmic Trading and Market Quality: International Evidence323 cited

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2009
Informed traders and limit order markets
317 cited

Cited by

  • 2011The Impact of Dark Trading and Visible Fragmentation on Market Quality111 cited
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  • 2015Hidden Liquidity: Some New Light on Dark Trading83 cited
  • 2017The microstructure of a U.S. Treasury ECN: The BrokerTec platform81 cited
  • 2020Nothing but noise? Price discovery across cryptocurrency exchanges67 cited
  • 2021Dark Pool Trading and Information Acquisition67 cited
  • 2009The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform54 cited
  • 2016The impact of fragmentation, exchange fees and liquidity provision on market quality47 cited
  • 2010Dark Pool Trading Strategies, Market Quality and Welfare45 cited
  • 2017How Is Earnings News Transmitted to Stock Prices?44 cited
  • 2015The technological transformation of capital markets41 cited
  • 2019Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity37 cited
  • 2019Price Improvement and Execution Risk in Lit and Dark Markets34 cited
  • 2011Hidden Liquidity: Some New Light on Dark Trading33 cited
  • 2011The Impact of Dark Trading and Visible Fragmentation on Market Quality33 cited
  • 2015Anonymous Trading in Equities28 cited