affect the aggressiveness of 'dark' liquidity supply and thus the 'hidden spread'. Our evidence suggests that traders balance … hidden order placements to (i) compete for the provision of (hidden) liquidity and (ii) protect themselves against adverse … show that hidden liquidity locations are predictable given the observable state of the market. -- Limit Order Market …

, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the … and posted liquidity. Our findings moreover suggest that large hidden orders are associated with larger transaction costs … market, hidden liquidity provision gives rise to negative liquidity externalities. -- Hidden Liquidity ; Pretrade …

volatility clustering in clock-time returns, even when trade- time returns are Gaussian. Finally, we highlight conditions on the … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the … unconditional distribution of returns. In-sample fitting and out-of-sample realized volatility forecasting demonstrate the strength …

. Elaborating on this intuition, we conjecture that arbitrageurs can propagate liquidity shocks between related markets. The paper … ETFs increase the volatility of the underlying assets, and that the prices of the underlying assets are affected by shocks … ; undervaluation ; volatility ; excess returns ; price ; cross market contagion ; arbitrageurs …

. Finally, cross-listing increases a stock’s reliance on high-frequency market makers to provide liquidity. Yet, we find no … evidence of higher fragility in liquidity supply after cross-listing …

competing ECNs in terms of liquidity and market impact. Despite rapid growth, SIZE has not yet attained a significant market …