persistence of the order flow with market efficiency is a subtle issue. A possible solution is provided by asymmetric liquidity … empirically find that when the order flow predictability increases in one direction, the liquidity in the opposite side decreases …

Obtaining a unique limit order dataset provided by NYSE, we find there exits significant commonality in the liquidity …-ask spread, and how this commonality in limit order book is related with the liquidity commonality contributed by specialist firm … liquidity and market liquidity on bid- and ask-side: individual stock liquidity co-moves more with the market liquidity on the …