book increases liquidity. We analyze whether the presence of additional DMMs results in a further improvement in liquidity …. Using data from Deutsche Börse's Xetra system we find that increases in the number of DMMs significantly improve liquidity …

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 …

differences in market design and liquidity, can be exploited to estimate unique information shares. The empirical application of …

This dissertation is built around three separate papers that research several aspects of stock market liquidity. All … three papers use the innovative XLM (Exchange Liquidity Measure) data to measure the liquidity. The first paper entitled … Does Screen Trading Weather the Weather? A Note on Cloudy Skies, Liquidity and Computerized Stock Markets tests for the …

market liquidity are different in each market design. We test these predictions using a natural experiment. As of April 23 …

This paper investigates resiliency to provide a dynamic perspective on liquidity. We define resiliency as the rate of … mean reversion in liquidity. Resiliency increases with the proportion of patient traders, decreases with order arrival rate … robust with respect to the order book depth at which liquidity is measured. …

surprises, which suggests that private information does not hinder CDS liquidity. …

. We exploit this quasi{ natural experiment to investigate the impact this change had on liquidity and trading behavior …

This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …