Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...

Commodity markets are characterized by high price volatility, inefficient resource allocation and the cyclical reappearance of excessive surpluses and shortages. Historically, these problems and their relevant socio-economic implications have been tackled by means of protectionist measures at...