can be computed explicitly, and obeys a clear relation to the liquidity of the asset and to the autocorrelation of the … alpha forecast signals. Indeed, we find that steady-state optimal turnover is given by γ sqrt(n+1) where γ is a liquidity …

and posted liquidity. Our findings moreover suggest that large hidden orders are associated with larger transaction costs …, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the … market, hidden liquidity provision gives rise to negative liquidity externalities. -- Hidden Liquidity ; Pretrade …