Trader Anonymity, Price Formation and Liquidity *
نویسندگان
چکیده
منابع مشابه
Trader Anonymity, Price Formation and Liquidity
Using data from the Frankfurt Stock Exchange we analyze price formation and liquidity in a non-anonymous environment with similarities to the floor of the NYSE. Our main hypothesis is that the non-anonymity allows the specialist to assess the probability that a trader trades on the basis of private information. He uses this knowledge to price discriminate. This can be achieved by quoting a larg...
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Article history: Received 27 September 2016 Available online xxxx Submitted by A. Sulem
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ژورنال
عنوان ژورنال: Review of Finance
سال: 2003
ISSN: 1572-3097,1573-692X
DOI: 10.1023/a:1022579423978