Why do traders choose to trade anonymously?
- Publication Type:
- Journal article
- Journal of Financial and Quantitative Analysis, 2011, 46 (4), pp. 1025 - 1049
- Issue Date:
|dc.identifier.citation||Journal of Financial and Quantitative Analysis, 2011, 46 (4), pp. 1025 - 1049|
|dc.description.abstract||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.|
|dc.relation.ispartof||Journal of Financial and Quantitative Analysis|
|dc.subject||EXECUTION COSTS; ORDER AGGRESSIVENESS; FUTURES MARKETS; LISTED STOCKS; INFORMATION; ANONYMITY; NYSE; LIQUIDITY; SELECTION; UPSTAIRS||en_US|
|dc.subject.classification||Banking, Finance and Investment||en_US|
|dc.title||Why do traders choose to trade anonymously?|
|utslib.for||1502 Banking, Finance and Investment|
|pubs.organisational-group||/University of Technology Sydney|
|pubs.organisational-group||/University of Technology Sydney/Faculty of Business|
|pubs.organisational-group||/University of Technology Sydney/Faculty of Business/Finance|
|pubs.organisational-group||/University of Technology Sydney/Strength - Quantitative Finance|
OPUS (Open Publications of UTS Scholars) is the UTS institutional repository. It showcases the research of UTS staff and postgraduate students to a global audience. For you, as a researcher, OPUS increases the visibility and accessibility of your research by making it openly available regardless of where you choose to publish.
Items in OPUS are enhanced with high quality metadata and seeded to search engines such as Google Scholar as well as being linked to your UTS research profile, increasing discoverability and opportunities for citation of your work and collaboration. In addition, works in OPUS are preserved for long-term access and discovery.
The UTS Open Access Policy requires UTS research outputs to be openly available via OPUS. Depositing your work in OPUS also assists you in complying with ARC, NHMRC and other funder Open Access policies. Providing Open Access to your research outputs through OPUS not only ensures you comply with these important policies, but increases opportunities for other researchers to cite and build upon your work.
OPUS archives UTS research submitted for the UTS Research Output Collection (UTS ROC) and Excellence in Research for Australia (ERA). It also stores digital theses and forms of scholarship that do not usually see formal publication.
When you claim (or enter) your research in Symplectic Elements, simply upload a copy of your work which can be made openly available. Symplectic provides information on which version of your work to upload. If you are unsure, please supply a copy of the Accepted Manuscript version. Ensure you check the box to "agree to the OPUS license terms".
Once uploaded, your works are automatically sent to OPUS and placed temporarily in Closed Access until reviewed by UTS Library staff.
Once items are cleared of copyright constraints and/or publisher embargoes, your work is moved to Open Access and made accessible to the public.
Instructions are available from the Symplectic User Guide or contact email@example.com for further information.