reduce the funding liquidity risk of global institutions. …

a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the … dynamics of price and segmented order flow induced by the protocol. We find that the dark liquidity pool generally contains … liquidity providers to guard against adverse price movements than as a channel to hide private information. …

Treasury security issue size and liquidity. Treasury bills that were first issued with fifty-two weeks to maturity and then … given maturity) than when they are off-the-run, and persists when controlling for other factors that affect liquidity. The … liquidity benefits of reopenings are more than offset by the direct supply costs. …

This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The measures are analyzed …. The price impact coefficients are highly correlated with bid-ask spreads and with episodes of reported poor liquidity … other liquidity measures, as do yield spreads between on-the-run and off-the-run securities. In contrast, trading volume and …

Dealers, who strategically supply liquidity to traders, are subject to both liquidity and adverse selection costs …. While liquidity costs can be mitigated through inter-dealer trading, individual dealers' private motives to acquire … information compromise inter-dealer market liquidity. Post-trade information disclosure can improve market liquidity by …