Lifting the Veil: An Analysis of Pre-trade Transparency at the NYSE

By Ekkehart Boehmer, Gideon Saar, Lei Yu. 2005

366 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5f8b79c126979a35e38475b2ea911f45af988e6f

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Citations in the corpus

Limit order books (2010, background): “…set-up was that many traders can only view the depths available at the best prices and not the entire depth profile (although this is becoming increasingly less common as electronic trading platforms deliver ever more up-to-date information in real time (Boehmer et al. 2005, Bortoli et al. 2006)).”
Who Benefits from an Open Limit-Order Book? (2005, background): “Interestingly, Boehmer et al. (2005) also compared the rate of alteration of limit-order traders before and after the introduction of OpenBook, finding that in the transparent environment the rate is higher.”
Does Algorithmic Trading Improve Liquidity (2011, methodology): “Using standard option pricing techniques, Copeland and Galai (1983) value the cost of the option granted by liquidity suppliers.”
Technology and Liquidity Provision: The Blurring of Traditional Definitions (2009, neutral): “Boehmer, Saar, and Yu (2004) find that when the NYSE began distributing information on the book in real time (January, 2002), the cancellation rate of limit orders increased by 17% and the average time to cancellation decreased by 25%.”
Limit Order Markets: A Survey 1 (2008, background): “Boehmer, Saar, and Yu (2005) find that order submission strategies appear to change.”
Institutional Investors and the Informational Efficiency of Prices (2009, positive): “Because the pricing error has a 7 Boehmer, Saar, and Yu (2005) use the measure from Hasbrouck (1993) to assess the effect of pre-trade transparency on informational efficiency.”
The Empirical Analysis of Liquidity (2014, methodology): “For example, Boehmer et al. [2005] examine cumulative depths to the following four cutoffs: 0.”
Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds (2006, neutral): “Boehmer et al. (2005) examine the effect when the New York Stock Exchange began to disseminate limit order book information in January 2002.”