The information content of special orders

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
Reviewed

		Thumbnail	File	Description	Size	Format