previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans …

volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high …-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and … disappeared as the ban was lifted; (5) HFT unidirectionally Granger causes 1 min realized volatility while the natural logarithm …

This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance …-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following …

explore a sharp uptrend in HFT activities and accompanying improvement in market liquidity in the European market. We show …

adversely impact dealers' trading profits. Our results contribute to the debate on transparency versus the adoption of anonymity …We use a laboratory experiment to explore the effect of a change in pre-trade anonymity in a quote-driven dealer … customers (informed or uninformed). In the first treatment, there is no anonymity: dealers know whether the customer that sent …

The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in … particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the … main aim of this research is to assess commonality in liquidity on the Warsaw Stock Exchange (WSE) with the use of the PCA …