We use a new framework to analyze the liquidity trends in the US equity markets, based on the intra-day price trend … historical low. Furthermore while small jumps (which are generally liquidity related) are less common, but they increase … significantly during the stress events. Overall, these findings suggest that liquidity has not materially deteriorated in the U …

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …

with the US stock market volatility during the pandemic period. Using the wavelet coherence analysis, we first find that … there is a positive relationship between the volatility and death tolls. Second, while in the short term the sizable … volatility have a negative relationship. Finally, the monetary policy and the volatility have much stronger coherency than the …

liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the … dynamics of price and segmented order flow induced by the protocol. We find that the dark liquidity pool generally contains … liquidity providers to guard against adverse price movements than as a channel to hide private information. …

changes in financial intermediaries' balance sheets for the supply of credit, liquidity and asset prices, and, consequently …