This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …

(resp. low). However the quality of this signal and market liquidity are different in each market design. We test these …

fragmentation, the resulting implications for liquidity and price efficiency, and the role for public policy. Beyond the concerns …

We show that low-frequency measures of cryptocurrency liquidity perform adequately in describing high-frequency actual … liquidity. We calculate benchmark measures from high-frequency order book data and document the performance of low … frequency, exchange, benchmark measure, and cryptocurrency. It also performs well during high and low liquidity and volatility …