Foucault, Thierry; Kadan, Ohad; Kandel, Eugene - C.E.P.R. Discussion Papers - 2009
liquidity cycles. Monitoring decisions by market-makers and market-takers are self-reinforcing, generating multiple equilibria … with differing liquidity levels and duration clustering. The trading rate is typically maximized when makers and takers are … make/take fees, the trading rate, the bid-ask spread, and the effects of algorithmic trading on liquidity and welfare. …