dimensions: price, volatility and liquidity. By comparing the Garman-Klass volatilities of bitcoin spot and futures prices with … those of different assets, we find that both the bitcoin spot and futures markets exhibit relatively high volatility … compared to other assets. When the ratio of trading volume over open interest is used to measure liquidity, the bitcoin futures …

to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …

absolute, volume of orders over volatility. To this end, we propose a new measure, relative liquidity, which accounts for how … liquidity provision farther away from the best quotes, relative to the rest of the book, is associated with a disagreement on … the current price and followed by high volatility. The relationship is robust to the inclusion of several alternative …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …

points to identify both bull and bear phases in high-frequency markets for the three largest cryptocurrencies of Bitcoin …, Ethereum, and Litecoin. We also examine the market efficiency and liquidity of the selected cryptocurrencies during these … market. Furthermore, our results indicated differences between the cryptocurrencies in terms of their liquidity during the …

We examine the liquidity provision premium in cryptocurrency markets using the returns from the short reversal strategy … innovations of Tether liquidity can predict the returns from liquidity provision. The forecast power is also significant in out …

financial markets liquidity. -- market liquidity ; trading volume ; bid-ask spread ; intraday price volatility ; index futures …In this study, we examine the relations between the three keys variables of liquidity such as trading volume, bid …-ask spread, and intraday price volatility. Hausman’s (1978) tests of specification confirmed that trading volume, bid-ask spread …

We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge … futures market, but rather interacts with price risk, liquidity risk, and the risk aversion of the market maker. The … liquidity link between spot and futures markets. Our results provide no evidence in favor of the substitution hypothesis. …