The pattern of dependence between liquidity, durations (orders and trades) and bid-ask spreads in a limit order market are examined in high resolution invoking copulas and graph theory. Using intraday data from a sample of NASDAQ 100 stocks and an experimental design, we study the information...

Information aggregation in high frequency continuous auctions is investigated. It is proposed that information resides within the price formation mechanism in these markets. The public signal of the asset price is seen to be a part of the price system. Information aggregates into the public...