Easley, David; Engle, Robert F.; O'Hara, Maureen; Wu, Liuren - EconWPA - 2002
the arrival rates of trades and trade composition on market volatility, liquidity and depth. We find that although … volatility increases with the forecasted arrival rates of total trades, it is relatively independent of the forecasted … composition of the trade. We use the opening bid-ask spread as a measure of market liquidity. We find that as the number of trades …