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

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 …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

these latencies, liquidity-taking orders gain on average $0.0002 per share when priced at the SIP-reported national best bid … shows little evidence that fast traders initiate these liquidity-taking orders to pick-off stale quotes. These findings …