Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc … grounds. In this paper we propose a welfare-based denition of liquidity and characterize its relationship to the usual proxies … intermediaries pursue prot opportunities by providing intermediation services (i.e. "liquidity") in exchange for an endogenous fee …

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume … the existing metrics on welfare grounds. In this paper we propose a welfare-based denition of liquidity and characterize … intermedia- tion services (i.e. \liquidity") in exchange for an endogenous fee. Our model is well suited to study the contagion …

Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an … effectively providing intermediation services (i.e. “liquidity"). Our market quality measure is equal to the additional … proxies. The model is especially well-suited to study the contagion-like effects of liquidity shocks. …

linearized incomplete markets model, enriched to incorporate risk-sharing while maintaining tractability. Our estimates suggest … that taking risk sharing into account is important for the model fit; that the increase in inequality in the 1980s was … mainly permanent; and that inequality is driven almost entirely by idiosyncratic income risk. In addition we find no evidence …

of a large set of agents modelled by Markov chains as they appear in the theory of probabilistic cellular automata. …