direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a …

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange ….28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a …

liquidity. We develop and estimate several econometric models, based on depth and prices in the book, as well as on the slopes … of the limit order book. The dynamics of different dimensions of liquidity are analyzed: prices, depth at and beyond the … best prices, as well as resiliency, i.e. how fast the different liquidity measures recover after a liquidity shock. Our …

This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …

Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the … the associations between liquidity and message traffic. Based on within-stock variation, we find that algorithmic trading … and liquidity are positively related. To sort out causality, we use the start of autoquoting on the NYSE as an exogenous …

the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model …

We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … different liquidity types, central bank liquidity, funding and market liquidity and their relevant risks. In order to understand … the workings of financial system liquidity, as well as the role of the central bank, we bring together relevant literature …