order books. We show that these order book commonalities are much stronger than liquidity commonality across stocks. The …

Based on a structural model we analyze adverse selection costs and liquidity supply in a pure open limit order book … capitalized stocks, and find empirical support for one of the main hypothesis put forth by the theory of limit order book markets …, which states that liquidity supply and adverse selection costs are inversely related. We also show that adverse selection …

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

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …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 …

order books. We show that these order book commonalities are much stronger than liquidity commonality across stocks. The … that the informational content of hidden orders is limited. -- limit order book ; commonalities ; liquidity ; market …

This paper investigates the commonality of liquidity in an open limit order book market. We find that commonality in … liquidity becomes stronger the deeper we look into the limit order book. While commonality is only about 2% at the best prices … commonality do not hold for liquidity beyond best prices. Therefore, systematic liquidity risk in a limit order book market is …