The ex-ante liquidity embedded in an open Limit Order Book (LOB) and its dynamics have been one of the most important issues in financial research and evolves with the development of financial infrastructure. Using the tick-by-tick data and the reconstructed open LOB data from the Xetra trading...

We model the evolution of the ex-ante weighted spread (EWS) embedded in an open Limit Order Book (LOB) and investigate the impact of observed market-related variables on the spread. Our modeling involves decomposing the joint distribution of the weighted spread into simple and interpretable...

We analyze whether the information in different parts of the limit order book affect prices differently. We distinguish between slopes of lower and higher levels of the bid and ask sides and include these four slope measures as well as midquote return and trade direction in a vector...

This paper develops a high-frequency risk measure, the Liquidity-adjusted Intraday Value at Risk (LIVaR). Our objective is to explicitly consider the endogenous liquidity dimension associated with order size. Taking liquidity into consideration when using intraday data is important because...

In this paper, we analyze whether the state of the limit order book affects future price movements in line with what recent theoretical models predict. We do this in a linear vector autoregressive system which includes midquote return, trade direction and variables that are theoretically...

Using a comprehensive sample of stocks traded in Xetra system in German Stock Exchange, we first investigate the choice of trade volume by analyzing the trade size clustering and LOB-matched trades. Furthermore, we examine the role of these specific types of trade in the price discovery process....