Liquidity, Volume, and Order Imbalance Volatility
研究了美国股票在十进制化后流动性动态，发现高频订单不平衡波动性是流动性的重要驱动因素，能解释大股票价差与交易量之间的正相关关系，且该波动性在股票回报截面中被定价。
ABSTRACT We examine the dynamics of liquidity using a comprehensive sample of U.S. stocks in the post‐decimalization period. Motivated by a continuous‐time inventory model, we compute a high‐frequency measure of order imbalance volatility to proxy for the inventory risk faced by liquidity providers. We show that high‐frequency order imbalance volatility is an important driver of liquidity and explains the often positive time‐series relation between spread and volume for large stocks, which seems to run counter to most theoretical models. Furthermore, order imbalance volatility is priced in the cross‐section of stock returns.