monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a …

national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …

volume as a measure of liquidity and supports the derivative hedge theory. Option market spreads are positively related to … using transactions data. We propose a new market microstructure theory which we call derivative hedge theory, in which … underlying market, as measured by the liquidity of the latter market. In a perfect hedge world, spreads arise from the …

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems …-returns distribution. To explore the connection of uncertainty with liquidity, we specify a simple market where a monopolist financial … increase the bid-ask spread and, hence, reduces liquidity. In addition, 'hedge portfolios'' for the market-maker, an important …

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

1920s. The analysis suggests three conclusions: (1) the NYSE has faced significant long-run competition (2) the NYSE may be … susceptible to a similar level of competition in the future and (3) that the Consolidated may have improved the efficiency of …

. Such a funding-liquidity crisis gives rise to "bases," that is, price gaps between securities with identical cash-flows but …