Recent contributions to microstructure theory hint a commonalities in the price-depth pairs which constitute the open … majority of the book variation is due to either informational effects or non-informational fluctuations of liquidity we obtain …

Recent contributions to microstructure theory hint at commonalities in the price-depth pairs which constitute the open … majority of the book variation is due to either informational effects or non-informational fluctuations of liquidity we obtain …

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

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 …

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 …, which states that liquidity supply and adverse selection costs are inversely related. We also show that adverse selection … the ad hoc method to limit order book data. -- Limit order book market ; liquidity supply ; adverse selection …

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …

between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden … liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data …, we find strong empirical support and illustrate that hidden liquidity is higher if bid-ask spreads are smaller and …