Search Results - subject:"Pre‐trade transparency"

Does Pre-trade Transparency Affect Market Quality in the Tokyo Stock Exchange?

Sakawa, Hideaki; Ubukata, Masato - In: Economics Bulletin 32 (2012) 3, pp. 2103-2112

This paper examines the relation between pre-trade transparency and market quality in the Tokyo Stock Exchange (TSE … in the TSE disclosure policy in the 2000s. We find a positive relation between pre-trade transparency and market quality …

Persistent link: https://www.econbiz.de/10011278765

Optimal display of Iceberg orders

Cebiroğlu, Gökhan; Horst, Ulrich - 2011

We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions ('market...

Persistent link: https://www.econbiz.de/10010281495

Does Pre-trade Transparency Affect Market Quality in the Tokyo Stock Exchange?

Sakawa, Hideaki; Ubukata, Masato - Graduate School of Economics, Osaka University - 2009

This paper presents an examination of the relation between pre-trade transparency and market quality in the Tokyo Stock … change of disclosure policy in the 2000s. A positive relation pertains between pre-trade transparency and market quality …

Persistent link: https://www.econbiz.de/10008531697

What pieces of limit order book information are informative ?

PASCUAL, Roberto; VEREDAS, David - Center for Operations Research and Econometrics (CORE), … - 2004

providers (limit-order traders) benefit more from an increased degree of pre-trade transparency than liquidity consumers (market …

Persistent link: https://www.econbiz.de/10005008201