Hidden Liquidity: Some New Light on Dark Trading
通过实验室市场研究隐藏订单对交易者策略和市场结果的影响，发现隐藏流动性显著改变订单策略，但对整体市场流动性和信息效率影响不大，且仅当私人信息价值高时增加知情交易者利润。
ABSTRACT Using a laboratory market, we investigate how the ability to hide orders affects traders’ strategies and market outcomes in a limit order book environment. We find that order strategies are greatly affected by allowing hidden liquidity, with traders substituting nondisplayed for displayed shares and changing the aggressiveness of their trading. As traders adapt their behavior to the different opacity regimes, however, most aggregate market outcomes (such as liquidity and informational efficiency) are not affected as much. We also find that opacity appears to increase the profits of informed traders but only when their private information is very valuable.