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 …

We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for … may be generalized, if we use alternative measures of volatility. We choose one feasible alternative and derive a … generalized volatility model. Applying this model to some exemplary market indices, we are able to give some empirical evidence …

implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blow" narrative is …

and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … sample period. Main refinancing operations with the open market are associated with active liquidity re-allocation, little …

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is … differences of opinion is left, and hence volatility is decreased. …

volume is low, market activity is likely due to liquidity trading. Finally, for the actively traded stocks, our results …

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on … expected utility than outsiders. Yet, information acquisition by one investor exerts a negative externality on other investors …. Thus, investors' average welfare is maximal when access to price information is rationed. We show that a market for price …

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on … expected utility than outsiders. Yet, information acquisition by one investor exerts a negative externality on other investors …. Thus, investors' average welfare is maximal when access to price information is rationed. We show that a market for price …

certain welfare-improving transactions is subject to random and unobservable shocks. Efficiency is achieved via a payment … system that assigns balances to participants, adjusts them based on the histories of transactions, and periodically resets … requires that, in order to overcome informational frictions, agents participating in transactions that do not involve …