of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

Order Trading ; Anonymity ; Transparency ; Liquidity ; Volatility Forecasts … this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in …

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 …

spread and volatility is weaker after the switch to anonymity. … which some traders have better information on future price volatility. As limit orders have option-like features, this … signals that informed limit order traders expect volatility to be high (resp. low). However the quality of this signal and …

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …

between the spread and volatility is weaker after the switch to anonymity. … which some traders have better information on future price volatility. As limit orders have option-like features, this …) spread signals that informed limit order traders expect volatility to be high (resp. low). However the quality of this signal …

: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price … impact of liquidity trades is higher in the presence of the HFTs and is increasing with the size of the trade. In particular … PTs lose revenue in every trade intermediated by HFTs, they are compensated with a higher liquidity discount in the market …

: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price … impact of liquidity trades is higher in the presence of the HFTs and is increasing with the size of the trade. In particular … PTs lose revenue in every trade intermediated by HFTs, they are compensated with a higher liquidity discount in the market …