We measure the extent to which consolidated liquidity in modern fragmented equity markets overstates true liquidity due … to a phenomenon that we call Ghost Liquidity (GL). GL exists when traders place duplicate limit orders on competing … identified consistently across venues, we find that simply measured consolidated liquidity exceeds true consolidated liquidity …

market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …

It has been argued in the literature that emergency liquidity injections should be conducted preferably in the form of … open market operations. As we show in the present paper, this is not necessarily the case when liquidity may be …, targeted liquidity assistance may become strictly superior. The analysis might have a bearing on recent developments in the …

contractual links. The first is the market price channel, in which scarce funding liquidity and low market liquidity reinforce … case of illiquidity spirals, firms do not internalise the negative externality of holding low levels of funding liquidity … contagion - namely macroprudential liquidity regulation; restrictions on margins and haircuts; and information disclosure. …

We present a model that links the opacity of an asset to its liquidity. While low opacity assets are liquid … illiquidity. High opacity, however, benefits liquidity by reducing the value of a unit of private information to investors. The …

Whether proprietary traders provide or take liquidity, and how their behavior evolves over the business cycle and … traders concentrate their trades in large and liquid stocks, but even in these, their liquidity provision is minimal. When … intermediary balance sheets are weak, proprietary traders do not provide any liquidity. Furthermore, proprietary traders do not …

We present a model of financial market liquidity provided by financially constrained intermediaries. We show that … market liquidity increases with the level of intermediary capital. We also characterize conditions under which intermediaries …

, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential … pricing and liquidity of short and long maturity bonds. We find statistically significant, but economically negligible … segmentation in yields and some degree of liquidity segmentation of short-term versus long-term bonds. These results have important …

What are liquidity crises? And what can be done to address them? This short article brings together some personal … issues: the distinction between idiosyncratic and systematic elements of liquidity crises; the growing reliance on funding … liquidity in a market-based financial system; the role of payment and settlement systems; the need to improve liquidity buffers …

What are liquidity crises? And what can be done to address them? This short paper brings together some personal …: the distinction between idiosyncratic and systematic elements of liquidity crises; the growing reliance on funding … liquidity in a market-based financial system; the role of payment and settlement systems; the need to improve liquidity buffers …