Kalay, Avner; Wohl, Avi - In: Journal of Financial and Quantitative Analysis 44 (2009) 01, pp. 29-54
We develop a measure (based on the relative slopes of the demand and supply schedules) quantifying the asymmetric presence of liquidity traders in the market: a steeper slope of the demand (supply) schedule indicates a concentration of liquidity traders on the demand (supply) side. Using the...