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 …

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems …-returns distribution. To explore the connection of uncertainty with liquidity, we specify a simple market where a monopolist financial … increase the bid-ask spread and, hence, reduces liquidity. In addition, 'hedge portfolios'' for the market-maker, an important …

particular to different financial measures of their liquidity. We find that more liquid stocks based on financial characteristics …

. Such a funding-liquidity crisis gives rise to "bases," that is, price gaps between securities with identical cash-flows but …

market liquidity to vary from `normal' periods, when all assets are fully liquid, to 'illiquidity crises,' when some assets … can only be traded infrequently. The possibility of a liquidity crisis leads to limited arbitrage in normal times …

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