Market Description: Liquidity and Informed Trading

Abstract

This chapter covers the first step of the empirical analysis. See Exhibit 7-1. It is subdivided into separate descriptions and tests of common hypotheses of liquidity and informed trading as well as their relation. It lays the foundation for the interpretation of results on informed traders’ behavior, which are presented in the third step. The synopsis summarizes the results in comparison to the results found in other electronic limit order markets.

Keywords

Trading Volume Price Impact Order Book Order Size Inform Trading 
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References

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