We disentangle bid- and ask-side liquidity using 11 years of comprehensive NYSE limit order book data and document that this has important implications for understanding the determinants, commonalities and pricing of liquidity. First, the ask- but not bid-side liquidity of financial stocks...

We analyze whether the information in different parts of the limit order book affect prices differently. We distinguish between slopes of lower and higher levels of the bid and ask sides and include these four slope measures as well as midquote return and trade direction in a vector...

In this paper, we analyze whether the state of the limit order book affects future price movements in line with what recent theoretical models predict. We do this in a linear vector autoregressive system which includes midquote return, trade direction and variables that are theoretically...