Relative liquidity and future volatility
发现相对订单量（而非绝对量）对波动率有强预测力，提出新指标“相对流动性”衡量限价订单簿中报价深度的分布，该指标越高预示未来波动越大。
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.