Alexandra Hachmeister

Informed Traders as Liquidity Providers (eBook, PDF)

Evidence from the German Equity Market

• Format: PDF

Produktbeschreibung

Most market places in today's exchange industry operate on fully electronic trading systems. The predominant form of trading systems is the open limit order book pooling all buy and sell limit orders in one single order book. The attractiveness of an order book is determined by its liquidity. Consequently, liquidity is the competitive factor for an exchange. However, it is not the exchange that provides the liquidity but the limit orders standing in the order book. The question is: Who are these traders that provide liquidity on a voluntary basis? A high frequency transaction data set for the German equity market is the basis for Alexandra Hachmeister's extensive empirical analysis. This includes a detailed market description of the German equity market, a new methodological approach for the identification of informed traders and finally the analysis of the individual liquidity providing and demanding behavior of the identified informed traders. Questioning the existing theoretical literature on liquidity provision in equity markets, she finds strong evidence for liquidity providing behavior of informed traders.

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Produktdetails

• Verlag: Deutscher Universitätsverlag
• Seitenzahl: 179
• Erscheinungstermin: 3. November 2007
• Englisch
• ISBN-13: 9783835095779
• Artikelnr.: 37400226

Autorenporträt

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.

Inhaltsangabe

Liquidity (definition and measurement)
Informed trading (definition and identification of informed traders)
Open limit order book
Empirical analysis (high frequency transaction data)
Liquidity provision by informed traders