In standard Walrasian auctions, the price of a good is defined as the point where the supply
and demand curves intersect. Since both curves are generically regular, the response to …

Price impact models are important for devising trade execution strategies. However, a
proper characterization of price impacts is still lacking. This study models the price impact …

Abstract Systems, methods, and computer program product for generating a report or
document including a data representation reflecting a distribution of hidden trade order …

Price impact is an important area of research in market microstructure. Previous studies
have examined the relationship between trade size and price impact on a number of equity …

Electronic limit order books are prevalent in financial markets. Most allow 'hidden orders,'in
which the order's information is neither revealed to the market nor reflected in the National …

Abstract On 29 September 2020, JPMorgan was ordered to pay a settlement of $920.2
million for spoofing the metals and Treasury futures markets from 2008 to 2016. We examine …

Trade execution is concerned with the actual mechanics of buying or selling the desired
amount of a financial instrument. Investors wishing to execute large orders face a tradeoff …

We report evidence that the presence of hidden liquidity is associated with greater liquidity
in the order books, greater trading volume, and smaller price impact. Limit and market order …

IT innovation has developed in tandem with increased cyberattacks and data breaches (Ji et
al., 2016; Pala and Zhuang, 2019). Various global firms, including Equifax, Target, Sony …

Abstract Iceberg Orders and the Compensation for Liquidity Provision: Limit order books in
many markets contain hidden liquidity because traders are able to submit iceberg orders …