Market for information and identity disclosure in an experimental open limit order book

Economic Notes

Volumn 35, Issue 1, 2006, Pages 97-119

  Perotti, Pietro ^a   Rindi, Barbara ^a  

^a BOCCONI UNIVERSITY   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMETRICS; ECONOMIC GEOGRAPHY; FINANCIAL MARKET; FINANCIAL SYSTEM; MODELING; TRADE FLOW;

EID: 33646492841     PISSN: 03915026     EISSN: 14680300     Source Type: Journal    
DOI: 10.1111/j.0391-5026.2006.00160.x     Document Type: Article

References (26)

1. A. Admati - P. Pfleiderer (1991), "Sunshine Trading and Financial Market Equilibrium", The Review of Financial Studies, 4, pp. 443-81.
2. J. S. Banks (1985), "Price-conveyed Information versus Observed Insider Behaviour: A Note on Rational Expectations Convergence", Journal of Political Economy, 93, pp. 807-15.
3. B. Biais - S. Pouget (2000), "Microstructure, Incentives, and the Discovery of Equilibrium in Experimental Financial Markets", Working Paper, University of Toulouse.
4. R. Bloomfield - M. O'Hara (1999), "Market Transparency: Who Wins and Who Loses?", Review of Financial Studies, 12, pp. 5-35.
5. R. Bloomfield - M. O'Hara - G. Saar (2005), "The Make or Take Decision in an Electronic Market: Evidence on the Evolution of Liquidity", Journal of Financial Economics, 75, pp. 165-99.
6. D. Brown - Z. M. Zhang (1997), "Market Orders and Market Efficiency", The Journal of Finance, 52, pp. 277-307.
7. E. Boehmer - G. Saar - L. Yu (2005), "Lifting the Veil: An Analysis of Pre-trade Transparency at the NYSE", The Journal of Finance, 60, pp. 783-815.
8. I. Domowitz - B. Steil (1999), "Automation, Trading Costs, and the Structure of the Trading Services Industry", Brookings-Wharton Papers on Financial Services, 2, pp. 33-92.
9. M. Flood - R. Huisman - K. G. Koedijk - R. Mahieu (1999) "Quote Disclosure and Price Discovery in Multiple Dealer Financial Markets", The Review of Financial Studies, 12, pp. 37-59.
10. M. Forster - T. George (1992), "Anonymity in Securities Markets", Journal of Financial Intermediation, 2, pp. 168-206.
11. T. Foucault - S. Moinas - E. Theissen (2003), "Does Anonymity Matter in Electronic Limit Order Markets?", Working Paper, HEC.
12. J. A. Garfinkel - M. Nimalendran (2003), "Market Structure and Trader Anonymity: An Analysis of Insider Trading", Journal of Financial and Quantitative Analysis, 38, pp. 591-610.
13. S. J. Grossman - J. Stiglitz (1980), "On the Impossibility of Informationally Efficient Markets", American Economic Review, 20, pp. 393-408.
14. L. Harris (2003), Trading & Exchanges: Market Microstructure for Practitioners, Oxford: Oxford University Press.
15. J. Harris - P. Schultz (1997), "The Importance of Firm Quotes and Rapid Executions: Evidence from the January 1994 SOES Rule Change", Journal of Financial Economics, 45, pp. 135-66.
16. T. Hendershott - C. M. Jones (2003), "Island Goes Dark", Working Paper, Haas School of Business, University of California at Berkeley.
17. R. C. Kormendi - C. Plott (1982), "Committee Decisions under Alternative Procedural Rules: An Experimental Study Applying a New Non-monetary Method of preference inducement", Journal of Economic Behaviour and Organization, 3, pp. 175-95.
18. J. P. Krahnen - M. Weber (2001), "Market Making in the Laboratory: Does Competition Matter?", Experimental Economics, 4, pp. 55-85.
19. A. Madhavan (1996), "Security Prices and Market Transparency", Journal of Financial Intermediation, 5, pp. 255-83.
20. A. Madhavan - D. Porter - D. Weaver (2002), "Should Securities Markets be Transparent?", Working Paper, Baruch University.
21. M. Massa - A. Simonov (2003), "Reputation and Interdealer Trading. A Microstructure Analysis of the Treasury Bond Market", Journal of Financial Markets, 6, pp. 99-141.
22. M. Pagano - A. Röell (1996), "Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading", The Journal of Finance, 51, pp. 579-611.
23. C. R. Plott - S. Sunder (1982), "Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-expectations Models", Journal of Political Economy, 90, pp. 663-98.
24. B. Rindi (2003), "Informed Traders as Liquidity Providers: Transparency, Liquidity and Price Formation", Working Paper, Department of Economics, Bocconi University.
25. A. Röell (1990), "Dual-capacity Trading and the Quality of the Market", Journal of Financial intermediation, 1, pp. 105-24.
26. E. Theissen (2003), "Trader Anonymity, Price Formation and Liquidity", European Finance Review, 7, pp. 1-26.