Using LOB data, relationships among liquidity measures relevant to intraday trading—bid depth, ask depth, bid …-ask spread, and the exchange/xetra liquidity or XLM measure—are investigated for five widely traded futures markets operated by … liquidity proposed in the literature vary across markets but are time invariant. Factor analysis confirms the …

also presents evidence on the liquidity of this market during the financial crisis period. Using variation in TBA … eligibility rules, the authors' estimates suggest that the liquidity benefits associated with the TBA market are of the order of … that the presence of a government credit guarantee alone does not appear to be sufficient explanation for the liquidity of …