This paper provides a thorough review of the liquidity measures that are used in the
empirical literature to measure liquidity. A wide range of papers have emphasized its role …

This paper proposes a novel interconnected multilayer network framework based on
variance decomposition and block aggregation technique, which can be further served as a …

We compare the market quality of centralized crypto exchanges (CEXs) such as Binance
and Kraken to decentralized blockchain-based venues (DEXs) such as Uniswap v2 and v3 …

Liquidity plays an important role in global research. We identify high-quality liquidity proxies
based on low-frequency (daily) data, which provide 1,000× to 10,000× computational …

This paper investigates the efficacy of low-frequency transactions-based liquidity measures
to describe actual (high-frequency) liquidity. We show that the Corwin and Schultz (2012) …

In the literature, there is no consensus on a common approach to measure bond liquidity.
This paper is the first to comprehensively compare all commonly employed liquidity …

We study bitcoin to US dollar (BTCUSD) liquidity and liquidity determinants using order book
data from three large cryptocurrency exchanges. The BTCUSD market is more liquid than …

A key question is why many multinational firms forgo foreign exchange derivative (FX)
hedging and instead use operational hedging. We propose an explanation based on …

Market liquidity spillover has been studied using fiat and digital currency (cryptocurrency),
though separately. In today's globally connected financial markets, there is …

For the first time, new regulatory data allow precise measurement of price discrimination
against nonfinancial clients in the foreign exchange derivatives market. Consistent with the …