Informed Traders as Liquidity Providers

1. Front Matter

   Pages I-XVI

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2. Introduction

   1. Introduction

      Pages 1-6

3. Institutional Set-up and Academic Framework

   1. Front Matter

      Pages 7-8

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   2. Institutional Setting

      Pages 9-19

   3. Liquidity

      Pages 21-33

   4. Informed Trading

      Pages 35-46

   5. Informed Trading and Liquidity

      Pages 47-62

4. Empirical Analyses

   1. Front Matter

      Pages 63-64

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   2. Research Design

      Pages 65-84

   3. Market Description: Liquidity and Informed Trading

      Pages 85-108

   4. Trader Classification

      Pages 109-117

   5. Liquidity Demand and Supply Behavior of Informed Traders

      Pages 119-145

   6. Résumé

      Pages 147-150

5. Back Matter

   Pages 151-179

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Today, the majority of large international stock exchanges operates electronic trading systems and abandons more and more floor trading which relies upon specialists and market makers. The preferred trading mechanism is the so-called open limit order book, which induces continuous double auction trading without any market participants designated to facilitate trading through their own trading activity. Trading in these market structures is considered the more attractive the smaller the spread between the highest buy and the lowest sell limit order, i.e. the more liquid a market is. This leads to the question which market participants are willing to enter buy and sell limit orders in the open limit order book to enable liquid trading. Traditional theoretical literature concludes that exclusively uninformed traders enter limit orders and provide liquidity while impatient informed traders enter liquidity-consuming market orders. Recent, primarily experimental studies question this rigid distinction. This is the starting point for Ms Hachmeister’s thesis, when she analyzes – based upon an individually compiled extensive set of transaction data – informed traders’ order type choice.

• Handel, elektronischer
• Hochfrequenz-Handelsdaten
• Informierter Handel
• Liquidität
• Provision
• liquidity

Dr. Alexandra Hachmeister promovierte bei Prof. Dr. Dirk Schiereck am Stiftungslehrstuhl Bank- und Finanzmanagement der European Business School, Oestrich-Winkel. Sie ist derzeit als Mitarbeiterin der Deutsche Börse AG tätig.

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