Resource title

Learning from post-trade identity disclosure in electronic trading

Resource image

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Resource description

This paper shows how traders learn from post-trade identity disclosure in a currency limit order market. We establish that identity disclosure reveals information and show how traders react by reversing their order flow in line with the better informed. Informed traders primarily incorporate their own private as well as publicly available information into prices, whereas uninformed mainly magnify the effect of the informed. Within this framework, traders treat own and others? market orders as more informative than limit orders. We show that counterparty information drives out public information and that its value decays over time.

Resource author

Lukas Menkhoff, Maik Schmeling

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/27224

Resource license

Adapt according to the presented license agreement and reference the original author.