{"id":{"repo_id":"buffalo","oai_identifier":"oai:ubir.buffalo.edu:10477/86648"},"canonical_url":"https://search.dev.ndltd.org/etd/buffalo/oai:ubir.buffalo.edu:10477/86648","repository":{"repo_id":"buffalo","name":"Buffalo","base_url":"https://ubir.buffalo.edu/oai/request"},"display":{"title":"Hidden Liquidity, Market Quality, and Order Submission Strategies","abstract":"Ph.D.","abstract_html":"Ph.D.","abstract_has_math":false,"creators":["Lee, Albert; 0000-0002-8904-0417"],"institution":"State University of New York at Buffalo","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":["Chung, Kee","Finance"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2025,"date_issued":"2025-02-21T21:36:00Z","date_published":"2025-02-21T21:36:00Z","updated_at":"2026-07-27T19:05:34Z","subjects":["finance"],"languages":["eng"],"rights":["Users of works found in University at Buffalo Institutional Repository (UBIR) are responsible for identifying and contacting the copyright owner for permission to reuse. University at Buffalo Libraries do not manage rights for copyright-protected works and cannot assist with permissions.","Copyright retained by author."],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/10477/86648","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Chung, Kee","Finance"]},{"key":"dc:creator","label":"Author","values":["Lee, Albert; 0000-0002-8904-0417"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2025-02-21T21:36:00Z","2020"]},{"key":"dc:publisher","label":"Institution","values":["State University of New York at Buffalo"]},{"key":"dc:type","label":"Dc Type","values":["Text","Dissertation"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["finance"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["Users of works found in University at Buffalo Institutional Repository (UBIR) are responsible for identifying and contacting the copyright owner for permission to reuse. University at Buffalo Libraries do not manage rights for copyright-protected works and cannot assist with permissions.","Copyright retained by author."]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/10477/86648"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Ph.D.","Traders in most equity markets can instruct exchanges whether they want to hide or display their limit orders on the book. While the ability to hide trading interests could be advantageous to liquidity providers, it increases uncertainties for liquidity demanders by reducing pre-trade transparency. Even though hidden liquidity accounts for approximately 20% of trading volume in the U.S., there is limited evidence on its effects. Exploiting a recent pilot program as an exogenous shock to hidden liquidity, we show that hidden liquidity has significant effects on various measures of market quality and order submission strategies after controlling for market volatility and other stock attributes. Hidden liquidity widens the quoted spread, as some traders switch to use hidden orders to minimize the probability of their orders being undercut by other traders. Other spread measures, depths, trading volume, and trade size increase with hidden liquidity. The extent of informed trading and the price impact of a trade also increase with hidden liquidity, suggesting that using hidden orders helps informed traders to take advantage of their private information more effectively. Traders use more inside-the-quote limit orders, consistent with informed traders' submitting less aggressive orders while uninformed traders trading more aggressively when there is more hidden liquidity. Algorithmic traders engage in more pinging activities and raise message traffic when there is more hidden liquidity to discover any trading interest that has not been displayed on the book.","**To request an accessible version of the file(s) associated with this item, contact library@buffalo.edu. Please include the item's persistent URL [http://hdl.handle.net/. . .] in your request.**"]},{"key":"dc:format","label":"Dc Format","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["Hidden Liquidity, Market Quality, and Order Submission Strategies"]}]}],"canonical_facts":{"dc:contributor":["Chung, Kee","Finance"],"dc:creator":["Lee, Albert; 0000-0002-8904-0417"],"dc:date":["2025-02-21T21:36:00Z","2020"],"dc:description":["Ph.D.","Traders in most equity markets can instruct exchanges whether they want to hide or display their limit orders on the book. While the ability to hide trading interests could be advantageous to liquidity providers, it increases uncertainties for liquidity demanders by reducing pre-trade transparency. Even though hidden liquidity accounts for approximately 20% of trading volume in the U.S., there is limited evidence on its effects. Exploiting a recent pilot program as an exogenous shock to hidden liquidity, we show that hidden liquidity has significant effects on various measures of market quality and order submission strategies after controlling for market volatility and other stock attributes. Hidden liquidity widens the quoted spread, as some traders switch to use hidden orders to minimize the probability of their orders being undercut by other traders. Other spread measures, depths, trading volume, and trade size increase with hidden liquidity. The extent of informed trading and the price impact of a trade also increase with hidden liquidity, suggesting that using hidden orders helps informed traders to take advantage of their private information more effectively. Traders use more inside-the-quote limit orders, consistent with informed traders' submitting less aggressive orders while uninformed traders trading more aggressively when there is more hidden liquidity. Algorithmic traders engage in more pinging activities and raise message traffic when there is more hidden liquidity to discover any trading interest that has not been displayed on the book.","**To request an accessible version of the file(s) associated with this item, contact library@buffalo.edu. Please include the item's persistent URL [http://hdl.handle.net/. . .] in your request.**"],"dc:format":["application/pdf"],"dc:identifier":["http://hdl.handle.net/10477/86648"],"dc:language":["eng"],"dc:publisher":["State University of New York at Buffalo"],"dc:rights":["Users of works found in University at Buffalo Institutional Repository (UBIR) are responsible for identifying and contacting the copyright owner for permission to reuse. University at Buffalo Libraries do not manage rights for copyright-protected works and cannot assist with permissions.","Copyright retained by author."],"dc:subject":["finance"],"dc:title":["Hidden Liquidity, Market Quality, and Order Submission Strategies"],"dc:type":["Text","Dissertation"]},"updated_at":"2026-07-27T19:05:34Z"}