fell substantially right before the Bitcoin price hype, whereas it leveled out during the period the down market period. We …

predicting stock volatility. This is motivated by the microstructure literature that focuses on the mechanics of price formation … simultaneously the dynamics of price impact on all sample stocks. Furthermore, when we augment traditional volatility models with the …In this paper, we are interested in exploring the role of price impact, derived from the order book, in modeling and …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …-induced price adjustments are found to be driven by systematic speculative behaviour and are determined to be significant. …