best prices, as well as resiliency, i.e. how fast the different liquidity measures recover after a liquidity shock. Our …This paper analyzes liquidity in an order driven market. We only investigate the best limits in the limit order book … liquidity. We develop and estimate several econometric models, based on depth and prices in the book, as well as on the slopes …

This paper considers a trading game in which sequentially arriving liquidity traders either opt for a market order or … supplying liquidity. This benefit is hampered, however, by the direct competition arising between consecutively arriving sellers …

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U … that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked …-varying correlation between stock and bond returns, and the relatively small equity market news effect when averaged across expansions and …

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U … that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked …-varying correlation between stock and bond returns, and the relatively small equity market news effect when averaged across expansions and …

The German financial system is the archetype of a bank-dominated system. This implies that organized equity markets are … its peers, we find that it is indeed underdeveloped with respect to market capitalization. In terms of liquidity, on the …