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

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

: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. The behavior of … traders provide liquidity instead of HFTs, taking advantage of the discounted price. We thus uncover a trade-o. between the … greater liquidity and efficiency provided by HFTs in normal times, and the disruptive consequences of their trading activity …

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 … droughts on both venues disappear within less than one minute, the recovery is not lasting, as liquidity shocks spiral over the …

crashes. They actually consume liquidity when it is most needed, even if they are rewarded by the exchange to provide … crash. In their place, slow traders provide liquidity, taking advantage of the discounted price. We thus uncover a trade …-off between the greater liquidity and efficiency provided by designated market makers in normal times, and the disruptive …