Order Trading ; Anonymity ; Transparency ; Liquidity ; Volatility Forecasts … this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in …

messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an …. Negative messages are associated with higher adverse selection costs than positive or neutral messages. Liquidity increases …

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

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …

spread and volatility is weaker after the switch to anonymity. … which some traders have better information on future price volatility. As limit orders have option-like features, this … signals that informed limit order traders expect volatility to be high (resp. low). However the quality of this signal and …

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …

between the spread and volatility is weaker after the switch to anonymity. … which some traders have better information on future price volatility. As limit orders have option-like features, this …) spread signals that informed limit order traders expect volatility to be high (resp. low). However the quality of this signal …

migrate to dark pools, the probability of subsequent order execution there increases, raising liquidity. The ability to …

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …

Based on a structural model we analyze adverse selection costs and liquidity supply in a pure open limit order book … capitalized stocks, and find empirical support for one of the main hypothesis put forth by the theory of limit order book markets …, which states that liquidity supply and adverse selection costs are inversely related. We also show that adverse selection …