This paper investigates the relation between liquidity and information-based trading in the context of an order …

The complex pattern of the dependence that exists between liquidity, durations and spread in a limit order market is … 100 stock we confirm that limit orders, placed in five levels on both bid and ask side, provide liquidity and are an … important conduit of information flow along with the spread. The bid side and ask side liquidity can play different roles in …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …