dimensions: price, volatility and liquidity. By comparing the Garman-Klass volatilities of bitcoin spot and futures prices with … those of different assets, we find that both the bitcoin spot and futures markets exhibit relatively high volatility … compared to other assets. When the ratio of trading volume over open interest is used to measure liquidity, the bitcoin futures …

to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …

absolute, volume of orders over volatility. To this end, we propose a new measure, relative liquidity, which accounts for how … liquidity provision farther away from the best quotes, relative to the rest of the book, is associated with a disagreement on … the current price and followed by high volatility. The relationship is robust to the inclusion of several alternative …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …

points to identify both bull and bear phases in high-frequency markets for the three largest cryptocurrencies of Bitcoin …, Ethereum, and Litecoin. We also examine the market efficiency and liquidity of the selected cryptocurrencies during these … market. Furthermore, our results indicated differences between the cryptocurrencies in terms of their liquidity during the …