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 … activity. This pattern is consistent with competition among PDT. Our results highlight the importance of IDT's presence in …

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

monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a …

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

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

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …

liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time … Ratios during times of high VIX. The results point to withdrawal of liquidity supply, and an associated increase in the … expected returns from liquidity provision, as a main driver behind the evaporation of liquidity during times of financial …