equal when transaction prices are used for the estimation. Models based on quote midpoints indicate that the electronic …

We develop a model of limit order trading in which some traders have better information on future price volatility. As … visible. In either design, a large (resp. small) spread signals that informed limit order traders expect volatility to be high … significantly. Consistent with our model, we also find that the size of the spread is a predictor of future price volatility and …

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …