We give a complete solution to the problem of minimizing the expected liquidity costs in the presence of a general …

In this study, we examine the relations between the three keys variables of liquidity such as trading volume, bid … financial markets liquidity. …

consistent with Prospect Theory (Kahneman and Tversky, [39]; Tversky and Kahneman, [63]), i.e., loss aversion and mild risk …, nontrivial, state-dependent effects on equilibrium market liquidity, price volatility, trading volume, market efficiency, and …

conditions for linearity of the function are presented in terms of market liquidity. We also present a suitable functional form …

This paper proposes a dynamic multi-security model in which liquidity reflects stochastic variation, persistence, and … controlling for microstructure noise. I find that a Dow stock's liquidity decreases in the size of information about not only … itself but also about other Dow stocks, demonstrating a significant cross-sectional effect of information on liquidity. …

explanation for large price changes. Instead, we find that a low density of limit orders in the order book, i.e. a small liquidity … liquidity, large stock price fluctuations can be explained quantitatively. …

We study the liquidity, defined as the size of the trading volume, in a situation where an infinite number of agents …

We study the liquidity, de ned as the size of the trading volume, in a situation where an in nite number of agents with …

market capitalization and are free of information effects. Our main results are asymmetric price and liquidity responses … smaller-cap to a larger-cap FTSE index experience a permanent increase in stock price accompanied by improvements in liquidity … accompanied by declines in liquidity. In contrast, firms added to the FTSE SmallCap index that were not previously in FTSE indexes …