algorithms are documented that can be rectified by recognizing that the impact on liquidity is the fundamental characteristic … underlying order placement. Although this liquidity-based method is difficult to implement, it more closely captures the actual …

surprises, which suggests that private information does not hinder CDS liquidity. …

number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key … element is missing: liquidity also depends on (3) an asset s correlation with other securities. For example, if an illiquid … security is added, the liquidity of the non-market asset is still a decreasing function of volatility and an increasing …

increases as trade size increases. We also identify a few liquidity trends: measures like average daily volumes, average price …

. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity, and thereby market quality …

differences in market design and liquidity, can be exploited to estimate unique information shares. The empirical application of …

This dissertation is built around three separate papers that research several aspects of stock market liquidity. All … three papers use the innovative XLM (Exchange Liquidity Measure) data to measure the liquidity. The first paper entitled … Does Screen Trading Weather the Weather? A Note on Cloudy Skies, Liquidity and Computerized Stock Markets tests for the …

market liquidity are different in each market design. We test these predictions using a natural experiment. As of April 23 …

break local price trends, make liquidity suppliers revise positions, and enhance price discovery. In contrast, pauses do not …

This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …