has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We …

, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most … financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …

Based on a structural model we analyze adverse selection costs and liquidity supply in a pure open limit order book …, which states that liquidity supply and adverse selection costs are inversely related. We also show that adverse selection … the ad hoc method to limit order book data. -- Limit order book market ; liquidity supply ; adverse selection …

important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of … 'commonality in liquidity' – a term which expresses the idea that the liquidity of individual stocks may have common determinants …. We find strong evidence of commonality in liquidity in what is the first study of this phenomenon since the ASX adopted …

complexities, e.g., fragmentation due to multiple venues, dynamics of limit order books, lit vs. dark liquidity, different trading …