Market Transparency and Traders' Behavior: An Analysis on Euronext with Full Order Book Data

Preprint

1 January 2003

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.393465

Abstract

This paper investigates why traders hide their orders and how other traders respond to the detection of hidden depth. Using a logit model, we provide empirical

Keywords

TRADERS' BEHAVIOR
HIDDEN ORDERS
HIDDEN DEPTH
ORDER AGGRESSIVENESS

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