In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows … measures of liquidity and publish them in the regular reports. But as in literature, there is still no consensus as what … liquidity really means and how it should be measured, or reported, understood or predicted, as the consistent summary of what …

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 …

) incommodity futures price volatility spurious, following Granger?s conjecture? Yes,only two out of eleven commodities are ….Second, do large Index Traders such as commodity pools and pension funds increasefutures price volatility through a large volume … accuracyof term structure models of futures prices by (i) including more state variables tobetter capture maturity and inventory …

Artículo de revista ; On 20 April 2020 the West Texas Intermediate (WTI) oil futures price for May delivery turned … negative for the first time in history. Other crude prices also posted very low values and their volatility soared, far more … than that on stock markets. This article analyses the differences between the spot and futures markets for crude …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … neither accompanied by higher liquidity/price efficiency nor by persistent abnormal returns of continuously listed stocks upon … transfers. The third part demonstrates that continuous trading became more attractive and liquidity in this system increased due …

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