Valenzuela, Marcela
[Verfasser:in]
;
Zer, Ilknur
[Sonstige Person, Familie und Körperschaft];
Fryzlewicz, Piotr
[Sonstige Person, Familie und Körperschaft];
Rheinlander, Thorsten
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: Journal of Financial Markets, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 27, 2015 erstellt
Beschreibung:
The main contribution of this paper is to identify the strong predictive power of the relative, rather than the absolute, volume of orders over volatility. To this end, we propose a new measure, relative liquidity, which accounts for how quoted depth is distributed in a limit order book and captures the level of consensus on a security's trading price. Higher liquidity provision farther away from the best quotes, relative to the rest of the book, is associated with a disagreement on the current price and followed by high volatility. The relationship is robust to the inclusion of several alternative measures