frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity … consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes the market more … illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity …

Order Expectations (HOEs) about the two factors that influence the aggregate demand: fundamentals information and liquidity … HOEs about fundamentals are subdued, prices under-rely on public information, the market hovers in a high liquidity state …. Equivalently, illiquidity arises as a byproduct of the lack of participation of informed investors in their capacity of liquidity …

characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities …Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper … documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise …

five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers … benchmark linear VAR models and then, given the evidence of parameter instability, TVP-VAR models with stochastic volatility …) to a one-standard-deviation shock to the number of COVID-19 cases are statistically insignificant, except for France …

; liquidity ; MTS system …