crashes. They actually consume liquidity when it is most needed, even if they are rewarded by the exchange to provide … crash. In their place, slow traders provide liquidity, taking advantage of the discounted price. We thus uncover a trade …-off between the greater liquidity and efficiency provided by designated market makers in normal times, and the disruptive …

fragmentation, the resulting implications for liquidity and price efficiency, and the role for public policy. Beyond the concerns … competition between trading venues. …

We examine the role of algorithmic traders (AT) in liquidity supply and demand in the 30 DAX stocks on the Deutsche … monitor market liquidity than human traders. AT consume liquidity when it is cheap, i.e., when the bid-ask quotes are narrow …, and supply liquidity when it is expensive. When spreads are narrow AT are less likely to submit new orders, less likely to …

This paper studies the impact of contracted market makers by investigating the liquidity provider scheme in Sweden. The … results show that the stocks become more liquid after the introduction of the contracted market makers. The liquidity … scheme and function as contracted market makers, whose trading behavior contribute to documented liquidity improvement. After …

costs curves and we find empirical evidences about the "pegging to the current mid-quote" behavior of the liquidity …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market …-frequency competition, and contains an exogenous event - a tick size reform - which we use to disentangle the effects of the rising share of … high-frequency trading in the market from the effects of high-frequency competition. We find that when HFTs compete, their …

consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. The behavior of … traders provide liquidity instead of HFTs, taking advantage of the discounted price. We thus uncover a trade-o. between the … greater liquidity and efficiency provided by HFTs in normal times, and the disruptive consequences of their trading activity …