Based on reconstructed high-frequency limit order book data, we provide empirical evidence of systematic liquidity co …-variation across DAX-30 stocks. We show that commonality in liquidity is even more crucial beyond the best limits, and that liquidity … shocks are correlated across different order book areas. Moreover, we argue that (aggregated) systematic liquidity …

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …

the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid …

Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …