trade. If most liquidity demanders are uninformed, there is likely to be significant wash trade among them, resulting in … Normal-like volume distributions. If most liquidity demanders are informed, their trades are correlated so that the volume …

volatility of price changes in terms of parameters describing the arrival rates of buy and sell orders and cancelations. These …

volatility of price changes in terms of parameters describing the arrival rates of buy and sell orders and cancelations. These …

amount of assets exchanged in the most liquid time step. However, our model is not showing raising average volatility on long …

(short intertrade duration, narrow bid/ask spread, small volatility, high turnover) tend to lead smaller stocks. However, the … most correlated stocks are those with similar levels of liquidity. This lead/lag phenomenon is not constant throughout the …

large liquidity shocks or days following larger order imbalances, but not on days of strong informational asymmetry about …

The efficient frontier is a core concept in Modern Portfolio Theory. Based on this idea, we will construct optimal …

liquidity and volatility. To identify causality, we rely on the unique design of this tax that is imposed only on large French … measures of liquidity, such as price impact, and no significant effect on volatility. The results are robust if we rely on …In this paper, we assess the impact of the securities transaction tax (STT) introduced in France in 2012 on market …