A survey of research into broker identity and limit order book

Thu Phuong Pham () and Joakim Westerholm

No 17212, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: This survey summarizes and analyzes theoretical, empirical and experimental research that addresses limit order book transparency in securities markets. We conclude that changes in market design that alter transparency have far reaching but complex impacts on market quality, market efficiency and price discovery. We suggest that future research into the impact of transparency choices in market design should take a more holistic approach in which several aspects of market quality are considered, results are verified across different market segments impacted unequally, and, ideally, matching securities in other markets are used as controls. We consider what policy recommendations can be made based on current evidence and suggest what more research needs to be done.

Keywords: Transparency; Opacity; Broker ID; Market Efficiency; Limit Order Book (search for similar items in EconPapers)
JEL-codes: G10 G15 G18 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2013-10-16, Revised 2013-10-16
New Economics Papers: this item is included in nep-mst
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Published by the University of Tasmania. Discussion paper 2013-14

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