We give a new definition of order aggressiveness based jointly on three major concepts: time, price and quantity. Using correlations on an original dataset derived by reconstructing limit order book, we analyze to what level aggressiveness onone side affects the aggressiveness on both sides of...

Ghost liquidity (GL) in fragmented markets, is defined as the observable but not accessible liquidity that is mostly associated with the rapid cancellations of multiple orders in different venues when an order is executed in a venue. We track the prevalence and the impacts of GL in the case of a...