market liquidity and trading of other market participants. IDT contribute 10% to volume while losing 3.2 bp (73% of the half …-spread) on average on trades with others, including proprietary day traders (PDT), the primary intraday-liquidity providers, and … show that IDT activity reduces bid ask spread and increases intra-day volatility and total volume traded. The volume traded …

higher than justified by investors' own subsequent short-term return expectations. This excess volatility in forward … expectations helps account for excess volatility in prices, inelastic demand for equities, and stylized facts about the equity term …

consequences of targeting larger liquid assets to key traders in markets, and to the most liquidity-sensitive links in supply …

-and-repurchase (repo) contracts. Exemption from an automatic stay in bankruptcy enables financial intermediaries to raise greater liquidity … and induces entry of intermediaries with higher leverage during normal times. This liquidity creation occurs, however, at …

, liquidity providers lose. Since information generates volatility, and volatility co-moves across assets, liquidity providers … in option markets, and their predictability by VIX in the time series. Volatility risk thus explains the liquidity …Liquidity provision is a bet against private information: if private information turns out to be higher than expected …