Liquidity providers often learn information about an asset from prices of other assets. We show that this generates a … self-reinforcing positive relationship between price informativeness and liquidity. This relationship causes liquidity … spillovers and is a source of fragility: a small drop in the liquidity of one asset can, through a feedback loop, result in a …

We study the role of various trader types in providing liquidity in spot and futures markets based on data from the … overnight are the primary liquidity providers in both spot and futures markets. We have two crashes in our sample, both … in both markets. Market stability may require the presence of well-capitalized standby liquidity providers for recovery …

We study the role of various trader types in providing liquidity in spot and futures markets based on data from the … overnight are the primary liquidity providers in both spot and futures markets. We have two crashes in our sample, both … in both markets. Market stability may require the presence of well-capitalized standby liquidity providers for recovery …

We study the role of various trader types in providing liquidity in spot and futures markets based on data from the … overnight are the primary liquidity providers in both spot and futures markets. We have two crashes in our sample, both … in both markets. Market stability may require the presence of well-capitalized standby liquidity providers for recovery …

Financial crises are often characterized by sharp reductions in liquidity followed by cascades of falling prices …. Researchers are making progress in work to understand the levels of liquidity on a daily basis, but understanding the … vulnerability of liquidity to market shocks remains a challenge. We develop an agent-based model with the objective of evaluating …