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 …

how the pecking order theory of trading actually functions. …

is based on a model of limit order trading in which traders have information on future price volatility. As limit orders …-anonymous market (traders' IDs are disclosed). Limit order traders bid less aggressively when they expect volatility to rise. For this … reason, in either market design, an increase in the bid-ask spread foreshadows increased volatility. Moreover, when …

This chapter examines the impact the European sovereign debt market crisis had on liquidity and volatility dynamics and … volatility measures. We analyze important trends in these measures over both tranquil and crisis periods. Additionally, we study … time-varying correlations as well as the intertemporal interactions of liquidity proxies with volatility and returns. Our …

This paper studies the intraday volatility of European government bonds under the framework of the multiplicative … component GARCH model (Engle and Sokalska, 2012). Intraday return volatility is specified as the product of daily volatility … debt crisis. We observe large transitory intraday volatility often due to illiquidity effects and outliers. We suggest a …

The implied volatility of any stock market can be used in order to measure the future expectations of risk and returns … great importance to examine the implied volatility of the Greek stock market and measure its' relevance with the implied … volatility of the German stock market. The reason that these stock markets have been selected relies on the fact that the German …

Using high-frequency data from the MTS trading platform, we examine return and volatility spillover effects across … securities of core countries are the largest net volatility transmitters whereas the shorter-term benchmarks of periphery … countries are the leading net receivers of volatility shocks. Moreover, the short-end and the long-end of the yield curve in …

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three … measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply …-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks …