Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are … more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is …

important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of … 'commonality in liquidity' – a term which expresses the idea that the liquidity of individual stocks may have common determinants …. We find strong evidence of commonality in liquidity in what is the first study of this phenomenon since the ASX adopted …

We examine the impact of dynamic hedging demand of German option and discount certificate markets on the … autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate … market, a structured financial product with a concave payoff profile, asking whether dynamic hedging by certificate issuers …