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Figure

Table 1: Quoting requirements for Designated Sponsors on the 3 liquidity classes of Xetra (repro- (repro-duced from the Xetra Designated Sponsor guide), accessed 28/05/2015.
Figure 1: Every line corresponds to a trading day, and the shaded regions represents periods for which the spread (left) and XLM (right) is in the top quintile for the day for stock Sky Deutschland.
Figure 2: An example of the duration of the exceedance over a spread threshold. The spread threshold is c is 5 cents, T i denotes the i-th time instant that the spread exceeds the threshold, and τ i is the duration of that exceedance.
Figure 3: Boxplots of the adjusted R 2 value obtained from fitting the full regression model separately for each day in our dataset for both the threshold corresponding to the 5th decile of the spread (the median - red) and the 95th percentile threshold (b
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