. Theory predicts this technological advantage should translate into market-wide liquidity co-variation, by transmitting … information-based liquidity shocks. Using a dataset of orders and trades from the French stock market, we investigate whether HFT … algorithms constitute a source of systematic liquidity risk. We demonstrate that, across securities, the liquidity offered by …

expected returns and why they are better at providing liquidity. We provide an example implementation using a sample of high …

, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most … financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …