volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order …: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the …

factor of asymmetric information, which plays an important role in the patterns for liquidity. Our findings are consistent … relation with the volatility and a negative relation with stock prices, while the striking reversed L-shaped pattern of the … depths has a negative relation with stock prices and the volatility but a positive relation with trading volumes. Finally …

. This work presents one of the first studies of algorithmic trading and its impact on information and liquidity in equity …

are slightly more popular ratios (still below 10%) with virtually no communication of the Liquidity and Cash Flow sub …

This paper investigates the effect of the introduction of exchange-traded funds (ETFs) on the liquidity of individual …

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems … uncertainty with liquidity, we specify a simple market where a monopolist financial intermediary makes a market for a propriety … liquidity. Our infinite-horizon example produces short, dramatic decreases in liquidity even though the underlying environment …