A survey of research into broker identity and limit order book

This survey summarizes and analyzes theoretical, empirical and experimental research that addresses limit order book transparency in securities markets. We conclude that changes in market design that alter transparency have far reaching but complex impacts on market quality, market efficiency and price discovery. We suggest that future research into the impact of transparency choices in market design should take a more holistic approach in which several aspects of market quality are considered, results are verified across different market segments impacted unequally, and, ideally, matching securities in other markets are used as controls. We consider what policy recommendations can be made based on current evidence and suggest what more research needs to be done.