In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows … measures of liquidity and publish them in the regular reports. But as in literature, there is still no consensus as what … liquidity really means and how it should be measured, or reported, understood or predicted, as the consistent summary of what …

This study compares liquidity costs of electronic and open-outcry wheat futures contractstraded side-by-side on the … Kansas City Board of Trade. Liquidity costs are considerablylower in the electronic market. Liquidity costs in the electronic ….Price volatility and transaction size are positively related to liquidity costs, while a negativerelation is found between daily volume …

This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat … futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market … than in the open outcry market. A new approach is used to estimate liquidity costs which eliminates bias resulting from …

profitability of exchange trading for both the exchange operator and the liquidity suppliers. It applies Harris and Hasbrouck(1996 … selection on liquidity provision. It relaxes the the assumptions of Sandas(2001) empirical implementation of the theoretical … to submit hidden liquidity into the order book. The third chapter studies the interaction between hidden liquidity and …

This study tests the size effect in the London Stock Exchange, using data for all nonfinanciallisted firms from January …

have debated the potential explanation of the momentum effect without reaching a consensus.Using data from the London Stock … market trading mechanism and is motivatedby recent changes to the trading systems that have taken place on the London … StockExchange. Since 1975 the London stock market has employed three different trading systems: a floor based system, a computerised …

and degrades liquidity and overall quality of execution of regular trades. …