TY - JOUR AB - This paper examines the use, determinants, and impact of anonymous orders in a market where disclosure of broker identity in the trading screen is voluntary. We find that most trading occurs nonanonymously, contrary to prior literature that suggests liquidity gravitates to anonymous markets. By strategically using anonymity when it is beneficial, traders reduce their execution costs. Traders select anonymity based on various factors including order source, order size and aggressiveness, time of day, liquidity, and expected execution costs. Finally, we report how anonymous orders affect market quality and discuss implications for market design. © Copyright Michael G. Foster School of Business, University of Washington 2011. AU - Comerton-Forde, C AU - Putniń?, TJ AU - Tang, KM DA - 2011/08/01 DO - 10.1017/S0022109011000214 EP - 1049 JO - Journal of Financial and Quantitative Analysis PY - 2011/08/01 SP - 1025 TI - Why do traders choose to trade anonymously? VL - 46 Y1 - 2011/08/01 Y2 - 2024/03/29 ER -