We use a novel dataset to examine the impact of exposing institutional orders to electronic liquidity providers (ELPs … liquidity fees on exchanges. This routing decision results in lower net effective spreads for these child orders, but leads to … disallow the broker to route their child-orders to ELPs. Our analysis suggests this cost increase is due to information leakage …

The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated … volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads … estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of …

the flow of Bitcoin transactions and its price movement. Using network theory, we examine a few complexity measures of the … market variables such as returns and volatility. We find that complexity of Bitcoin transaction network is significantly … correlated with Bitcoin market volatility. More specifically we document that the popularity of Bitcoin gauged from total system …