So What Orders Do Informed Traders Use

By Ron Kaniel, Hong Liu. 2006

347 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/09a5c5434f4c942a0bccbc8c0ec086acc113fc8d

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Citations in the corpus

Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers (2013, background): “…papers consider markets with a single informed liquidity provider and show that liquidity provision is desirable as a strategy for exploiting an informational advantage [see Kumar and Seppi (1993), Chakravarty and Holden (1995), Kaniel and Liu (2006) and Foucault, Moinas and Theissen (2007)].”
Technology and Liquidity Provision: The Blurring of Traditional Definitions (2009, neutral): “Parlour, and Rajan (2003), Kaniel and Liu (2004), and Rosu (2004).”
Dark Trading and Price Discovery (2015, background): “28 For example, Bloomfield, O’Hara, and Saar (2005), Kaniel and Liu (2006), Goettler et al. (2009), Roşu (2013), and Boulatov and George (2013).”
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market: Rise of the Machines (2009, positive): “…j=1 V hmake ij log V hmake it j + qX j=1 V cmake ij log V cmake it j + KX k=1 Ak PAkt + RV i RVit + uit; (3) 16For example, Chakravarty and Holden (1995), Kumar and Seppi (1994), Kaniel and Liu (2006), Goettler, Parlour and Rajan (2007) allow informed investors to use both limit and market orders.”
Endogenous Liquidity in Credit Derivatives (2012, positive): “Kaniel and Liu (2006) argue that long-lived private information increases the execution probability of limit orders and makes them more appealing to informed traders.”
Do Dark Pools Harm Price Discovery (2013, critical): “My finding stands in contrast to that of Ye (2011), who studies the venue choice of a large informed trader in the Kyle (1985) framework and concludes that the addition of a dark pool harms price discovery on the exchange. Ye (2011), however, assumes that only the informed trader can freely select t”
Limit Order Markets: A Survey 1 (2008, background): “More recently, Kaniel and Liu (2006) investigated the choice between market and limit orders by informed investors and patient uninformed investors.”
Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality (2014, positive): “Their prediction is driven by the monotonic equilibrium behavior of traders in their model, whereby, similarly to Kaniel and Liu (2006) and Rosu (2012), traders with a sufficiently large informational advantage use market orders and those with weaker information use limit orders.”