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 …

volatility, (iii) futures liquidity (width and depth) and the information flow to the futures market (through trading activity … and volatility). Information shocks to volatility affect futures market liquidity, which in turn affect volatility even … liquidity and trading activity on an emerging futures market. The joint dynamics of different dimensions of liquidity and …

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 …

.By studying 3-months LIBOR futures, this paper evaluates the consequences four scandal-related events have had on liquidity and … volatility in LIBOR markets. The goal is to document the market disruption, or lack thereof, caused by the manipulation and … discontinuation and to draw the relevant policy lessons. One finding is that the liquidity outflows necessitated by the …

.By studying 3-months LIBOR futures, this paper evaluates the consequences four scandal-related events have had on liquidity and … volatility in LIBOR markets. The goal is to document the market disruption, or lack thereof, caused by the manipulation and … discontinuation and to draw the relevant policy lessons. One finding is that the liquidity outflows necessitated by the …