Looking under the surface: An analysis of iceberg orders in the U.S. agricultural futures markets
研究了美国玉米和活牛期货市场中冰山订单（隐藏限价订单）的模式和市场影响，发现冰山订单能提升市场质量，包括增加交易量、降低波动性和提高流动性，对监管机构和交易所具有重要参考价值。
Abstract Like many exchanges the Chicago Mercantile Exchange allows traders to conceal part of their limit orders, known as a hidden‐limit order (HLO) or iceberg order. With HLOs, market participants have incomplete knowledge of the order book. To assess the effect of this lack of transparency in a period of highly volatile markets, we investigate the patterns and market impacts of HLOs in the U.S. corn and live cattle futures markets. Our conservative estimates indicate that HLOs represent more than 10% (20%) of the total volume in corn (live cattle) futures market. The findings show that the existence of HLOs improves market quality in multiple dimensions: driving trading volume while reducing market volatility and enhancing market liquidity. Our results are critical for regulators and exchanges as they are supportive of a degree of opacity. They are also indicative that market traders hide successfully, which can protect traders who have speed disadvantages in the era of fast trading.