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What is Term-Structure Analysis of Hidden Order in The Limit Order Book Evidence From The E-Mini S&P 500 about?

This study introduces a new hidden order detection algorithm for analyzing the impact of invisible orders on the E-mini S&P 500 limit order book, revealing that 43% of trade volume involves hidden liquidity. The findings indicate that hidden orders improve market quality by decreasing price impact and are more prevalent during high trading activity periods. The research contributes to the literature by providing a comprehensive analysis of hidden orders and their effects on market dynamics using a term-stru

Author

woadiebrackin

Language

EN