This paper provides an exhaustive review and categorization of market liquidity measures
that are used to quantify liquidity in empirical research. We review and discuss these …

We analyse the dynamics of liquidity in an electronic limit order book using the Exchange
Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. We use …

Most cryptocurrencies are bought and sold on centralized exchanges that manage supply
and demand via an order book. Besides trading fees, the high liquidity of a market is the …

In this paper we use the Exchange Liquidity Measure (XLM) to investigate into the time
dimension of liquidity. The XLM (V) measures the cost of a roundtrip trade of size V. Besides …

We explore the consolidated order book of five major exchanges to investigate how
fragmentation affects the Bitcoin market. Using intraday snapshots of the order book data …

In 2016, BitMEX introduced a novel type of crypto derivates–Perpetual Swaps, ie, futures
with an infinite term. Perpetual swaps provide a new strategic risk management tool for …

Most cryptocurrency spot trading occurs on centralized crypto exchanges, where offers for
buying and selling are organized via an order book. In liquid markets, the price achieved for …

Abstract On 29 September 2020, JPMorgan was ordered to pay a settlement of $920.2
million for spoofing the metals and Treasury futures markets from 2008 to 2016. We examine …

We investigate the dynamics of aggressive order in the financial market to further
understand volatility. To analyze aggressive order, market orders in the order book are …

The crisis that unfolded in 2007/2008 turned the attention of the financial world toward
liquidity, the lack of which caused substantial losses. As a result, the need arose for the …