fragmentation, the resulting implications for liquidity and price efficiency, and the role for public policy. Beyond the concerns … of all investors. Fragmentation of the marketplace can be seen as a direct outcome of this heterogeneity. In this article …

. We study the effects of such fragmentation on market performance using a dynamic model where agents trade strategically … intermediaries at the expense of investors with intrinsic trading motives, and lower liquidity than consolidated markets. Consistent … with our theory, we document improvements in liquidity and lower profits for liquidity providers when Euronext, in 2009 …

fragmentation, as well as the resulting implications for investors' welfare. We start with the literature that views exchanges as …

Market fragmentation and technological advances increasing the speed of trading altered the functioning and stability … that when liquidity becomes scarce Chi-X is a less resilient venue than LSE with variations existing across stocks and time …. In comparison with LSE, Chi-X has more, longer, and severer liquidity shocks. Whereas the vast majority of liquidity …

of fragmentation on liquidity and welfare di↵ers with asset volatility: when volatility is high (low), liquidity and …By employing a dynamic model with two limit order books, we show that fragmentation is associated with reduced … competition among liquidity suppliers and lower picking-o↵ risk of limit orders. Due to these countervailing channels, the impact …

others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They …

design features, such as minimum tick size, immediacy and anonymity; market conditions, such as liquidity and volatility; and …

-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a …

policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims … at extending the literature which views interbank markets as mutual liquidity insurance mechanism by taking into account … persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro …

, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity … risks, especially such related to liquidity dry-ups, and illiquidity spillover across maturities by examining the reaction … processes. We find that: a) market liquidity is more fragile and less predictable when an asset is very illiquid and, b) the …