Volume Discovery: Leveraging Liquidity in the Depth of an Order Driven Market
Electronic Markets - The International Journal, Vol. 16, No. 2, pp. 101-111
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- 1Captures
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Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Metrics Details
- Usage1,156
- Abstract Views1,156
- 1,156
- Captures1
- Readers1
- SSRN1
Paper Description
Electronic order book trading has evolved as best-of-breed for trading small and mid sized orders. Yet, this mechanism does not properly address the needs of large sized orders which tend to execute off order book in over-the-counter markets. Order book trading provides for public price discovery but not for quantity discovery. Off book executions generally fragments the order flow which again adversely impacts price discovery. We propose a market model innovation to close this gap: "Volume Discovery" introduces the new order type "volume order" to integrate large sized orders into the book. Volume order builds on the concept of iceberg order that is enhanced by two parameters "hidden limit" and "minimum volume" to continuously search order book depth for matching quantity. For large orders, volume discovery leverages already existent liquidity to benefit block trading by increased execution likelihood and reduced opportunity costs. For all orders, volume discovery promotes the integration of OTC markets and order book trading in order to improve liquidity while protecting price/time priority.
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