Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets
By H. Bessembinder, Marios A. Panayides, K. Venkataraman. 2009
152 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/1fbae79f2aba1dfa4de724247f128348cbcf7cdf
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Emmanuel Bacry
- Björn Hagströmer
- M. Rambaldi
- Lars L. Nordén
- Fabrizio Lillo
- Jonathan Brogaard
- Jean-Philippe Bouchaud
- Albert J. Menkveld
In Finance
- Emmanuel Bacry
- Björn Hagströmer
- Fabrizio Lillo
- M. Rambaldi
- Lars L. Nordén
- Jonathan Brogaard
- Jean-François Muzy
- Albert J. Menkveld
In Management Science and Operations Research
Citations in the corpus
- The role of volume in order book dynamics: a multivariate Hawkes process analysis (2016, background): “Others (Hasbrouck 1988, Biais et al. 1995, Bessembinder et al. 2009) focus on a more empirical analysis of the market data.”
- The Diversity of High-Frequency Traders (2013, background): “To cut latency (order processing time) further, NOMX‐St offers co‐ 5 As a point of comparison, Bessembinder et al. (2009) report that in a sample of 100 stocks at Euronext Paris in April 2003, 44% of the order volume is hidden.”
- Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs (2012, unknown): “Several recent studies on mutual funds (see, for example, Kacperczyk and Seru (2007), Bollen and Busse (2005), and Busse and Irvine (2006)) find evidence that funds can sustain relative performance beyond expenses or momentum over adjacent periods.”