We derive testable implications of Kyle and Obizhaeva's (2016) notion of "bet invariance'' for the cross-section of trade-time volatilities. We jointly develop theoretical foundations of "no speculative arbitrage'' whose implications incorporate those of bet invariance. Our proposed test...

We document new intraday trading patterns indicative of the key roles of endogenous trading responses of investors to variations in imperfectly-competitive liquidity provision. When measured in trade times of fixed dollar values, price impacts and volatility fall sharply from open to close, and...