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Primary Article

Dual Traders in Fully Anonymous Stock Markets, Iceberg Orders, and Liqudity Provision

Dirk Schiereck and Christian Voigt
The Journal of Trading Fall 2008, 3 (4) 24-46; DOI: https://doi.org/10.3905/jot.2008.3.4.24
Dirk Schiereck
A Professor and the chair of corporate finance at TU Darmstadt in Darmstadt, Germany.
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  • For correspondence: schiereck@bwl.tu-darmstadt.de
Christian Voigt
A product manager at the Deutsche Börse AG, CASH Market Development in Frankfurt/Main, Germany.
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  • For correspondence: christian.voigt@deutsche-boerse.com
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Abstract

The permission of dual trading in stock markets is highly controversial in academic as well as the practitioners' discussions, due to the thread of front-running/piggy-backing. This article contributes to that discussion by analyzing an equity market (namely Xetra in Germany) that has unique features with regard to anonymity. The risk of front-running appears to be relatively high at Xetra, considering that it is a fully anonymous market allowing orders with hidden volume to be placed in the open limit order book. Despite those favorable conditions, the authors do not find evidence of widespread, systematic front-running/piggy-backing activity. Dual traders do not abuse their knowledge of hidden orders by their customers. Dual traders' personal accounts provide liquidity to the market, but contrasting previous findings, the authors are not able to support the notion that dual traders provide liquidity to their own customers.

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The Journal of Trading
Vol. 3, Issue 4
Fall 2008
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Dual Traders in Fully Anonymous Stock Markets, Iceberg Orders, and Liqudity Provision
Dirk Schiereck, Christian Voigt
The Journal of Trading Sep 2008, 3 (4) 24-46; DOI: 10.3905/jot.2008.3.4.24

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Dual Traders in Fully Anonymous Stock Markets, Iceberg Orders, and Liqudity Provision
Dirk Schiereck, Christian Voigt
The Journal of Trading Sep 2008, 3 (4) 24-46; DOI: 10.3905/jot.2008.3.4.24
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