market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

show that IDT activity reduces bid ask spread and increases intra-day volatility and total volume traded. The volume traded …

. Instrumental variable regressions show that while bid ask spread reduces and volatility and volume increase with IDT activity, PDT …

have a "cool off" effect on markets, but rather accelerate volatility and bid-ask spreads. This implies a regulatory trade …

that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …

endogeneity, we find increased volatility and higher order book depth at the best bid and ask prices, while total depth is not …

volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an …

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price … Risk ; Intermediary ; Volatility …

decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …