This paper investigates the relationship between volatility and liquidity on the German electricity futures market … empirical intraday prices are not equally spaced in time. Empirical evidence suggests that volatility of electricity futures … electricity futures prices involve a growing volatility function in time and are thus not able to capture our empirical findings a …

This study uses high-frequency data to examine the impact of Bitcoin futures trading on volatility and liquidity of the … becomes more liquid in the post-futures trading period. The results are robust to different volatility and liquidity proxies … volatility and improving the spot market liquidity …

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 …