We develop a model of limit order trading in which some traders have better information on future price volatility. As … visible. In either design, a large (resp. small) spread signals that informed limit order traders expect volatility to be high … (resp. low). However the quality of this signal and market liquidity are different in each market design. We test these …

impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …