Skip to main content

Main menu

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Trading
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Trading

The Journal of Trading

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter
Primary Article

Let's Play Hide-and-Seek

The Location and Size of Undisclosed Limit Order Volume

Steve Bongiovanni, Milan Borkovec and Robert D. Sinclair
The Journal of Trading Summer 2006, 1 (3) 34-46; DOI: https://doi.org/10.3905/jot.2006.644087
Steve Bongiovanni
A senior research analyst at ITG Solutions Network, Inc., in Boston, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: steve_bongiovanni@itginc.com
Milan Borkovec
Co-head of the Financial Engineering Group at ITG Solutions Network, Inc., in Boston, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: milan_borkovec@itginc.com
Robert D. Sinclair
A senior research analyst at ITG Solutions Network, Inc., in Boston, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: robert_sinclair@itginc.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

With the advent of “smart” algorithmic trading systems driven in part by more transparent data offerings from market venues, information leakage from order placement is the nightmare of any market participant. Market participants are camouflaging their intent more than ever by strategic placement of hidden volume throughout the order book via iceberg and/or discretionary limit orders. This paper identifies simple, stylized facts which will allow other market participants to evaluate the likelihood of finding hidden volume. Based on our model, we can predict the hidden volume and also assess the probability that a market order will be executed within the spread and better than the mid-quote. The cost per immediate execution can be better assessed. Moreover, we can identify the delicate balance between submitting a hidden versus visible limit order that an informed trader may use to stimulate the market towards an equilibrium goal without revealing too much information.

  • © 2006 Pageant Media Ltd

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Trading
Vol. 1, Issue 3
Summer 2006
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Trading.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Let's Play Hide-and-Seek
(Your Name) has sent you a message from The Journal of Trading
(Your Name) thought you would like to see the The Journal of Trading web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Let's Play Hide-and-Seek
Steve Bongiovanni, Milan Borkovec, Robert D. Sinclair
The Journal of Trading Jun 2006, 1 (3) 34-46; DOI: 10.3905/jot.2006.644087

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Let's Play Hide-and-Seek
Steve Bongiovanni, Milan Borkovec, Robert D. Sinclair
The Journal of Trading Jun 2006, 1 (3) 34-46; DOI: 10.3905/jot.2006.644087
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • Algorithmic Trading in Turbulent Markets
  • Demystifying the Relationship between Trading-Level and Portfolio-Level Tracking Error
  • Dual Traders in Fully Anonymous Stock Markets, Iceberg Orders, and Liqudity Provision
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1559-3967 | E-ISSN: 2168-8427

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies