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Limit order book, anonymity and market liquidity: evidence from the Sydney Futures Exchange

✍ Scribed by Alex Frino; Dionigi Gerace; Andrew Lepone

Book ID
110936593
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
248 KB
Volume
48
Category
Article
ISSN
0810-5391

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## Abstract This study provides new evidence regarding the effect of limit order book disclosure on trading behavior. The natural experiment affected by the Sydney Futures Exchange in January 2001, when it increased limit order book disclosure from depth at the best bid and ask prices to depth at t

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## Abstract This article examines the market‐impact cost of trades executed in futures markets, which is commonly referred to as __slippage__. With the use of a unique data set provided by the Sydney Futures Exchange, this article documents that slippage costs incurred in executing packages of trad