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 …

We analyse the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which … cost of liquidity provision were large when indeed it is small. This bluffing strategy is less effective when traders … anonymous market. For this reason, concealing limit order traders’ IDs affects market liquidity in our model. We test this …

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must … patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained, and these patterns … execution delay in providing liquidity; their proportion in the population, which determines the degree of competition among the …

. We exploit this quasinatural experiment to investigate the impact this change had on liquidity and trading behavior. Our …

order books. This paper evaluates the impact on liquidity of fragmentation in visible order books and dark trading for a … sample of 52 Dutch stocks. We consider global liquidity by consolidating the entire limit order books of all visible European … trading venues, and local liquidity by considering the traditional market only. We find that fragmentation in visible order …

market design as the degree of transparency, the use of call auctions, the discreteness of the pricing grid and the … regulation of competition between liquidity suppliers or exchanges. …

paper evaluates the impact of dark trading and fragmentation in visible order books on liquidity. We consider global … liquidity by consolidating the limit order books of all visible trading venues, and local liquidity by considering the … traditional market only. We find that fragmentation in visible order books improves global liquidity, whereas dark trading has a …

We survey the theoretical literature on market liquidity. The literature traces illiquidity, i.e., the lack of … liquidity, to underlying market imperfections. We consider six main imperfections: participation costs, transaction costs …