We examine the relation between liquidity, volume, and volatility using a comprehensive sample of U.S. stocks in the … after controlling for volatility, contrary to most theoretical predictions. This relation is mostly driven by the systematic … line with a continuous-time inventory model, we show that the volatility of order imbalances can reconcile our puzzling …

impact of liquidity, as implied by a stock exchange's complete electronic limit order book (LOB), on asset price volatility … from the functional data analysis (FDA) literature to link scalar conditional return volatility to curve-valued liquidity …We introduce a new semiparametric model, GARCH with Functional EXogeneous Liquidity (GARCH-FunXL), to capture the …

I relate the returns of some liquidity exploitation strategies with the degree of liquidity metrics by utilising the …, negative prices) over the whole life span of the contract and that circumvents typical information modeling pitfalls for non …