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Publications - Winne & DHondt : Hide and Seek in the Market
| De Winne, R. & D'Hondt, C. (2007) : " Hide-and-Seek in the Market : Placing and Detecting Hidden Orders ", EDHEC Risk & Asset Management Research Centre. |
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]Résumé
This paper investigates why traders hide their orders and how other traders respond to the detection of hidden depth. Using a logit model, we provide empirical findings suggesting that traders use hidden orders to manage both exposure risk and picking off risk. Using probit models, we show that the detection of hidden depth increases order aggressiveness.
Our interpretation of this empirical evidence is threefold. First, hidden depth detection is possible and frequent. Second, when traders detect hidden volume at the best opposite quote, they strategically adjust their order submission to seize the opportunity for depth improvement. Third, traders' response when hidden depth is discovered suggests either that they do not associate hidden orders with informed trading or that the risk of trading with an informed trader is widely offset by the opportunity for depth improvement.
Our interpretation of this empirical evidence is threefold. First, hidden depth detection is possible and frequent. Second, when traders detect hidden volume at the best opposite quote, they strategically adjust their order submission to seize the opportunity for depth improvement. Third, traders' response when hidden depth is discovered suggests either that they do not associate hidden orders with informed trading or that the risk of trading with an informed trader is widely offset by the opportunity for depth improvement.
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Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu ]
Les opinions exprimées sont celles des auteurs et n'engagent pas la responsabilité de l'EDHEC.
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Formation Continue : EDHEC Executive - Executive MBA - IMARISC - Cycle Supérieur de Management CSM - CEVE (BADGE CIF, Conseil en Investissements financiers) - Intras - Mastère Commerce et Innovation dans la Mode - EDHEC Asset Management Education
Groupe EDHEC : Stratégie - Historique - Campus - Travailler à l'EDHEC - Espace Média - Pôles de Recherche - Chaires - Fondation EDHEC
Contact : Contactez-Nous