We propose a new approach to measuring the effect of unobservable private information orbeliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of awell identified shock on the volatility of the stock … that,as the publicly available information becomes stale, volatility effects and its persistenceshould increase, as the …

is based on a model of limit order trading in which traders have information on future price volatility. As limit orders …-anonymous market (traders' IDs are disclosed). Limit order traders bid less aggressively when they expect volatility to rise. For this … reason, in either market design, an increase in the bid-ask spread foreshadows increased volatility. Moreover, when …