Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2010
characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities. … documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory …