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 …

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 …

messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an …. Negative messages are associated with higher adverse selection costs than positive or neutral messages. Liquidity increases …

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

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 …

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 …

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 …

migrate to dark pools, the probability of subsequent order execution there increases, raising liquidity. The ability to …