Order Trading ; Anonymity ; Transparency ; Liquidity ; Volatility Forecasts … this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in …

that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …

stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …

FIDESSA. In accordance with the market microstructure literature stating that fragmentation affects volatility at the …

effects and trading costs of block trades. We add to the literature by investigating liquidity effects around block trades … the time-series dimension using panel vector autoregression with daily measures of trading activity and liquidity. We find … that over time, low liquidity on the main market does not induce investors to route their orders to the upstairs market …