隐藏的流动性:对暗交易的一些新认识

R. Bloomfield, Maureen O'Hara, Gideon Saar
{"title":"隐藏的流动性:对暗交易的一些新认识","authors":"R. Bloomfield, Maureen O'Hara, Gideon Saar","doi":"10.2139/ssrn.2019235","DOIUrl":null,"url":null,"abstract":"type=\"main\"> Using a laboratory market, we investigate how the ability to hide orders affects traders’ strategies and market outcomes in a limit order book environment. We find that order strategies are greatly affected by allowing hidden liquidity, with traders substituting nondisplayed for displayed shares and changing the aggressiveness of their trading. As traders adapt their behavior to the different opacity regimes, however, most aggregate market outcomes (such as liquidity and informational efficiency) are not affected as much. We also find that opacity appears to increase the profits of informed traders but only when their private information is very valuable.","PeriodicalId":172652,"journal":{"name":"ERN: Market Structure (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"90","resultStr":"{\"title\":\"Hidden Liquidity: Some New Light on Dark Trading\",\"authors\":\"R. Bloomfield, Maureen O'Hara, Gideon Saar\",\"doi\":\"10.2139/ssrn.2019235\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"type=\\\"main\\\"> Using a laboratory market, we investigate how the ability to hide orders affects traders’ strategies and market outcomes in a limit order book environment. We find that order strategies are greatly affected by allowing hidden liquidity, with traders substituting nondisplayed for displayed shares and changing the aggressiveness of their trading. As traders adapt their behavior to the different opacity regimes, however, most aggregate market outcomes (such as liquidity and informational efficiency) are not affected as much. We also find that opacity appears to increase the profits of informed traders but only when their private information is very valuable.\",\"PeriodicalId\":172652,\"journal\":{\"name\":\"ERN: Market Structure (Topic)\",\"volume\":\"15 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2011-12-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"90\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Market Structure (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2019235\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Market Structure (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2019235","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 90

摘要

使用实验室市场,我们研究了在限价订单环境下隐藏订单的能力如何影响交易者的策略和市场结果。我们发现,允许隐藏的流动性对订单策略有很大的影响,交易者用未显示的股票代替显示的股票,并改变他们交易的激进性。然而,当交易者根据不同的不透明制度调整自己的行为时,大多数市场结果(如流动性和信息效率)不会受到太大影响。我们还发现,不透明似乎增加了知情交易者的利润,但只有在他们的私人信息非常有价值的情况下。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Hidden Liquidity: Some New Light on Dark Trading
type="main"> Using a laboratory market, we investigate how the ability to hide orders affects traders’ strategies and market outcomes in a limit order book environment. We find that order strategies are greatly affected by allowing hidden liquidity, with traders substituting nondisplayed for displayed shares and changing the aggressiveness of their trading. As traders adapt their behavior to the different opacity regimes, however, most aggregate market outcomes (such as liquidity and informational efficiency) are not affected as much. We also find that opacity appears to increase the profits of informed traders but only when their private information is very valuable.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信