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 …

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

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 …

We study the reaction of financial markets to aggregate liquidity shocks when traders face cognition limits. While each … financial institution recovers from the shock at a random time, the trader representing the institution observes this recovery … not yet recovered from the shock place market sell orders, and then progressively buy back at relatively low prices, while …

We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect …, our model generates rich links between liquidity risk and default risk. The introduction of macroeconomic risks helps the … model capture realistic time variation in default risk premia and the default-liquidity spiral over the business cycle …

competitive market makers, and the demand from liquidity traders. We show that there always exists a unique linear equilibrium … informational efficiency of prices as the number of strategic traders becomes large. If liquidity demand is positively correlated … (or uncorrelated) with the asset value, then prices in large markets aggregate all available information. If liquidity …

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