This paper links the illiquidity of US Treasuries to funding liquidity and shows that dealers' financial constraints tighten after a positive shock to Treasury illiquidity. Consistent with the empirical properties of funding liquidity, illiquidity of Treasuries predicts changes in the TED spread...

The financial industry has eagerly adopted machine learning algorithms to improve on traditional predictive models. In this paper we caution against blindly applying such techniques. We compare forecasting ability of machine learning methods in evaluating future payoffs on synthetic variance...

This book is about the pricing of liquidity. We present theory and evidence on how liquidity affects securities prices, why liquidity varies over time, how a drop in liquidity leads to a drop in prices, and why liquidity crises create liquidity spirals. The analysis has implications for traders,...