The impact of reduced pre-trade transparency regimes on market quality

DOI10.1016/j.jedc.2015.05.011zbMath1401.91553OpenAlexW1801315602MaRDI QIDQ1657530

Polina Kovaleva, Giulia Iori

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/12355/1/ReducedTransparency_Revision2_Polina.pdf

zbMATH Keywords

liquiditybid-ask spreadagent based modelsmarket transparencyiceberg orders

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
• The impact of heterogeneous trading rules on the limit order book and order flows
• Continuous Auctions and Insider Trading
• Hide-and-Seek in the Market: Placing and Detecting Hidden Orders*
• Consistent Tests for Stochastic Dominance

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