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

Top of the Book. We find strong evidence that Mini Flash Crashes have an adverse impact on market liquidity and are … associated with Fleeting Liquidity. …

We develop a model of limit order trading in which some traders have better information on future price volatility. As … visible. In either design, a large (resp. small) spread signals that informed limit order traders expect volatility to be high … (resp. low). However the quality of this signal and market liquidity are different in each market design. We test these …

between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden … liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data …, we find strong empirical support and illustrate that hidden liquidity is higher if bid-ask spreads are smaller and …