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SUMMARY:The Hidden Side of the Market
DTSTART:20140912T103000
DTEND:20140912T120000
DTSTAMP:20260427T204533Z
UID:aaa96a93ed78748bad8c03e68e86d8ed2137902a5ea2d6e07587c1b1
CATEGORIES:Conferences - Seminars
DESCRIPTION:Nikolaus HAUTSCH (University of Vienna)\nWe develop a model of
  an order-driven exchange competing for order flow with offexchange tradin
 g mechanisms. Large investors can trade in either the primary market or th
 e off-exchange market and induce liquidity externalities. Liquidity suppli
 ers in the primary market face a trade-off between the costs and benefits 
 of order exposure. If they display their trading intentions\, they can ben
 efit from elicited order flow from latent investors. In an equilibrium ana
 lysis\, we show that hiding orders can cause adverse effects for the indiv
 idual and the overall market. In fact\, the resulting miscoordination betw
 een liquidity supply and demand causes price reactions and harms price eff
 iciency. Using a unique dataset of hidden orders in NASDAQ trading and an 
 econometric high-frequency analysis\, we find strong empirical support for
  our theoretical predictions. We find abnormal reactions in prices and ord
 er flow after periods of high one-sided hidden order volume.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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