national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …, especially those using high frequency trading (HFT). Trading in dark venues due to a wider MPV reduces volatility and increases …

market liquidity and trading of other market participants. IDT contribute 10% to volume while losing 3.2 bp (73% of the half …-spread) on average on trades with others, including proprietary day traders (PDT), the primary intraday-liquidity providers, and … show that IDT activity reduces bid ask spread and increases intra-day volatility and total volume traded. The volume traded …

volatility. The model predicts that volatility leads high frequency traders to reduce their provision of liquidity. Finally, we … order flows, and exploits his speed advantage to optimize his quoting policy. We determine the provision of liquidity, order …

particular to different financial measures of their liquidity. We find that more liquid stocks based on financial characteristics …

overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …

investors who know more about the stock than they do. An important assumption in this literature is that there are *liquidity … clustering at that time. This asymmetry means that when liquidity buyers are not clustering, purchases are more likely to be by …