The navigation of an iceberg: The optimal use of hidden orders

The Impact of Iceberg Orders in Limit Order Books

“…Theoretical treatments of iceberg orders include Buti and Rindi (2008), Esser and Mönch (2007) and Moinas (2007). The studies most closely related to ours are De Winne and D'Hondt (2007) and Bessembinder, Panayides, and Venkataraman (2009).…”

On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements

“…Accordingly, we expect a higher hidden order aggressiveness in this period compared to the rest of the trading day. Moreover, Esser and Mönch (2007) show that traders tend to display more of order sizes when they approach trading closure. This is driven by the typical requirement to close a position before the end of the trading session.…”

“…Esser and Mönch (2007) propose a static framework in which the trader optimizes the peak size and limit price of reserve orders by continuously monitoring and balancing exposure risk against execution risk. Moinas (2010) presents a theoretical model where informed traders as well as large liquidity traders use reserve orders to mitigate the information leakage.…”

Two Shades of Opacity: Hidden Orders versus Dark Trading

“…In experimental market designs informed traders submit opaque orders in an effort to maintain their informational advantage for a longer period (see, e.g., Bloomfield, O'Hara, and Saar, 2014;Gozluklu, 2014). Esser and Mnch (2007) examine optimal liquidation strategies in the presence of reserve orders. The rational for hiding the true order size in their model is reducing the direct and indirect price impact of a large limit order.…”