The dampening effect of iceberg orders on small traders’ welfare

Abstract

Iceberg orders, which allow traders to hide a portion of their order size, have become prevalent in many electronic limit order markets. This paper investigates, via a real options analysis, whether small traders, who have no use for submitting iceberg orders, are better off submitting their orders to fully transparent markets which have low depth, or to more liquid markets which do permit the placement of iceberg orders by large traders. Surprisingly, we find that in the context of our model, small traders are better off submitting to fully transparent markets in spite of them being less liquid.

A Decision Rule for Determining the Optimal Transplant Listing Window for Patients With a Fontan Physiology

“…A similar approach has been applied previously in the context of health technology adoption. 17 The approach has also been applied in a wide range of other contexts to problems in, for example, corporate finance, 18 market microstructure, 19 migration, 20 and the environment. 21 The idea is that the cardiologist has a checklist of symptoms (which she determines) against which the clinical status of an individual patient is checked.…”