supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the … the associations between liquidity and message traffic. Based on within-stock variation, we find that algorithmic trading … and liquidity are positively related. To sort out causality, we use the start of autoquoting on the NYSE as an exogenous …

model in which a real asset is valued for its rate of return and for its liquidity. We show that money is essential if and … liquidity. Our model generates a clear connection between asset prices and monetary policy. When money grows at a higher rate …

A poor liquidity level and a high liquidity risk significantly raise the required return for small-cap stocks. Euronext … allows these firms to hire designated market makers (DMMs) who guarantee a minimum liquidity supply for a lump sum annual fee …. In an event study based on 74 DMM stocks, we find that the contract improves liquidity level, reduces liquidity risk, and …

portfolios, but liquidity comes at a cost: inflation. The OTC market serves as a secondary asset market, in which agents can … rebalance their positions depending on their liquidity needs. Hence, a contribution of our paper is to provide a micro …

rates of return to compensate agents for their relative lack of liquidity. Consistent with empirical findings, our model …