Market Impact and Trading Profile of Hidden Orders in Stock Markets
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market...
| Príomhchruthaitheoirí: | , , , , , , , |
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| Formáid: | Journal article |
| Foilsithe / Cruthaithe: |
2009
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Market Impact and Trading Profile of Hidden Orders in Stock Markets
Foilsithe / Cruthaithe 2009
Journal article
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Market impact and trading profile of hidden orders in stock markets.
Foilsithe / Cruthaithe 2009
Journal article