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 … significantly. Consistent with our model, we also find that the size of the spread is a predictor of future price volatility and …

volatility of carbon emissions, it is not surprising that crude oil and coal have recently become a very important research topic …. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily spot or futures … causality and volatility spillovers in spot and futures prices of carbon emissions, crude oil, and coal. A likelihood ratio test …