We develop a model of limit order trading in which some traders have better information on future price volatility. As … visible. In either design, a large (resp. small) spread signals that informed limit order traders expect volatility to be high … significantly. Consistent with our model, we also find that the size of the spread is a predictor of future price volatility and …

impact of liquidity, as implied by a stock exchange's complete electronic limit order book (LOB), on asset price volatility … from the functional data analysis (FDA) literature to link scalar conditional return volatility to curve-valued liquidity …