Hidden Orders : An Empirical Study on the French Segment of Euro.NM

In this paper, we analyze hidden orders on the French segment of Euro.NM during the year 1997. The data show that 14% of limit orders are not fully displayed and represent 45% of the proposed volume (in number of shares). Most of hidden orders exhibit a large undisclosed part and are submitted just before the call auction. Whether dual traders act for their own accounts or not, they manage order exposure according to order size identically. Compared with fully displayed or- ders, hidden orders are less likely to be totally executed but lead to more cancellations and modiÞcations