Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds … contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and … negative relation between volatility and depth and suggest that the depth in the limit order book decreases as volatility …

the arrival rates of trades and trade composition on market volatility, liquidity and depth. We find that although … volatility increases with the forecasted arrival rates of total trades, it is relatively independent of the forecasted …