Bortoli, Luke; Frino, Alex; Jarnecic, Elvis; Johnstone, … - In: Journal of Futures Markets 26 (2006) 12, pp. 1147-1167
This study provides new evidence regarding the effect of limit order book disclosure on trading behavior. The natural experiment affected by the Sydney Futures Exchange in January 2001, when it increased limit order book disclosure from depth at the best bid and ask prices to depth at the three...