Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. Terms of use: Documents inWe present descriptive statistics, analyze the cross-sectional determinants of the XLM measure and document its intraday pattern. Our main contribution is an analysis of the dynamics of the XLM measure around liquidity shocks. We use intraday event study methodology to analyze how a shock affects the XLM measure. We consider two sets of liquidity shocks, large transactions (which are endogenous events because they originate in the market) and Bloomberg ticker news items (which are exogenous events because they originate outside of the market). We find that resiliency after large transactions is high, i.e., liquidity quickly reverts to "normal" levels. We further document that large trades take place at times when liquidity is unusually high. We interpret this as evidence that large transactions are timed. The Bloomberg ticker news items do not have a discernible effect on liquidity.JEL classification: G 10

No abstract

Sports betting, Regulated market, CCP clearing, Inter-bookmaker platform, Market microstructure, G10, D40, D51,

No abstract

A b s t r a c tElectronic order book trading has evolved in being recognized as the best-practice for trading small and mid-sized orders. Yet, this mechanism does not properly address the needs of large-sized orders which tend to execute off order book in over-the-counter markets. Order book trading provides for public price discovery but not for quantity discovery. Off book executions generally fragment the order flow which again adversely impacts price discovery.We propose a market model innovation to close this gap: 'Volume Discovery' introduces the new order type 'volume order' to integrate large sized orders into the book. The volume order builds on the concept of iceberg order but is enhanced by two parameters 'hidden limit' and 'minimum volume', which continuously search order book depth for matching quantity.For large orders, Volume Discovery leverages already existent liquidity to benefit block trading by increased likelihood of execution and reduced opportunity costs. For all orders, Volume Discovery promotes the integration of OTC markets and order book trading in order to improve liquidity while protecting price/time priority.