liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …

design, we develop an inferential theory for nonparametrically testing, the null hypothesis that pt is constant over one day …. Under the alternative, which encompasses a semimartingale model for pt, we develop non-parametric inferential theory for the … probability of staleness that includes the estimation of various integrated functionals of pt and its quadratic variation. Using a …

This paper presents a theoretical and empirical analysis of liquidity in the German intraday market for electricity …. Two models that aim at explaining intraday liquidity are developed. The first model considers the fundamental merit …-order and intraday adjustment needs as the drivers of liquidity in a perfectly competitive market. The second model relaxes the …