Order Trading ; Anonymity ; Transparency ; Liquidity ; Volatility Forecasts … 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 …

that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …

, are significantly higher in Euronext. Neither differences in the number of liquidity provision agreements nor differences …

stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …

In this study, we analyze the effect of US macroeconomic announcements on European stock returns, return volatility and … between stocks. The analysis of quoted spreads reveals that return volatility affects the spread size positively, and that … announcements even if the returns or the volatility of the underlying stock is not significantly affected. This points at the …

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the … scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations … between financial institutions to market participants that bear new liquidity risk on the market associated with collateral …