Why Do Traders Choose to Trade Anonymously?
研究在经纪商身份自愿披露的市场中，交易者何时以及为何选择匿名订单，发现多数交易非匿名，但策略性使用匿名可降低执行成本，并分析匿名订单对市场质量的影响。
Abstract This paper examines the use, determinants, and impact of anonymous orders in a market where disclosure of broker identity in the trading screen is voluntary. We find that most trading occurs nonanonymously, contrary to prior literature that suggests liquidity gravitates to anonymous markets. By strategically using anonymity when it is beneficial, traders reduce their execution costs. Traders select anonymity based on various factors including order source, order size and aggressiveness, time of day, liquidity, and expected execution costs. Finally, we report how anonymous orders affect market quality and discuss implications for market design.