Hidden Liquidity

Ulrich Horst

We review some statistical properties of "hidden liquidity", i.e., of limit orders that are shielded from public view rather than being openly displayed in the limit order book. Our focus is on hidden liquidity in the spread and on top of the book. We identify some key determinants of the amount of hidden liquidity including average daily trading volume and relative spreads.

The talk is based on joint work with Goekhan Cebiroglu.

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