Who can see the iceberg's peak? How icebergs are used by information and liquidity traders

Paul Lajbcygier and Vu Van Hoang

Journal of Financial Research, 2025, vol. 48, issue 1, 227-265

Abstract: Iceberg orders are partially disclosed limit orders that only reveal a small portion of their hidden volume at any time. Once traded, the iceberg order automatically replenishes until all its hidden volume executes. Consistent with theory, icebergs appeal to both information and liquidity traders. Information traders place orders at aggressive prices in the limit order book, which transact immediately as marketable orders. Liquidity traders use non‐aggressive orders, which sit on the book as limit orders. Iceberg traders adjust the aggressiveness of their orders as market conditions change. We find the market discovers iceberg orders through repeated replenishments.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/jfir.12414

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfnres:v:48:y:2025:i:1:p:227-265

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-2592

Access Statistics for this article

Journal of Financial Research is currently edited by Jayant Kale and Gerald Gay

More articles in Journal of Financial Research from Southern Finance Association Contact information at EDIRC., Southwestern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().