- Title
- The information content of special orders
- Creator
- Duong, Huu Nhan; Lajbcygier, Paul; Vu, Van Hoang
- Relation
- Pacific-Basin Finance Journal Vol. 45, Issue October 2017, p. 68-81
- Publisher Link
- http://dx.doi.org/10.1016/j.pacfin.2016.05.012
- Publisher
- Elsevier
- Resource Type
- journal article
- Date
- 2017
- Description
- We consider the role of special orders in informed traders' order submission strategies and their effect on the market price discovery process. Special orders, such as Fill or-Kill and All-or- Nothing orders, are not entered in the order book; instead, they are executed immediately. This means they do not require costly monitoring and are not visible to other traders. Due to the fact that informed institutional traders, including high-frequency traders, use aggressive special orders, they generate higher price impacts than normal orders, particularly in volatile markets.
- Subject
- fill-and-kill orders; all-or-nothing orders; institutional investors; price impact; high frequency trading
- Identifier
- http://hdl.handle.net/1959.13/1355222
- Identifier
- uon:31432
- Identifier
- ISSN:0927-538X
- Language
- eng
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