national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …, especially those using high frequency trading (HFT). Trading in dark venues due to a wider MPV reduces volatility and increases …

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

increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net …

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 …

dire consequences in terms of under-provision of market liquidity, has been repeatedly raised. This paper presents … systematic evidence from four different estimation strategies of the absence of breakpoints in market liquidity for fixed …-income asset classes and across multiple liquidity measures, with special attention given to the corporate bond market. The …

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 …

Treasury bills and other near-money assets provide owners with liquidity service benefits that are reflected in prices … in the form of a liquidity premium. I relate time variation in this liquidity premium to changes in the opportunity cost … of money: The liquidity service benefits of near-money assets are more valuable when short-term interest rates are high …