Although previous research has documented a low intraday liquidity commonality across stocks, it has grown over the past decade. Using the introduction of hybrid market in the New York Stock Exchange, I show that at least a part of this growth can be attributed to an increase in algorithmic...

In today's markets where high frequency traders (HFTs) both provide and take liquidity, what influences HFTs' liquidity provision? I argue that information asymmetry induced by liquidity-taking HFTs' use of machine-readable information is important. Applying a novel statistical approach to...

We analyze the effects of asymmetric switching costs on two identical firms that produce an homogeneous good and compete in prices. Both firms inherit a fraction of the market which is “locked-in” by the switching costs. When switching costs are low, firms face a tradeoff between charging a...

This paper models an unexplored source of liquidity risk faced by large broker-dealers: collateral runs. By setting different contracting terms on repurchase agreements with cash borrowers and lenders, dealers can source funds for their own activities. Cash borrowers internalize the risk of...

The existing literature has shown that an increase in the demand for safe assets induces the private sector to create more of them. Focusing on repos backed by US Treasuries, I theoretically and empirically show that an increase in the demand for safe assets leads to a decrease in repos...

We show that aggregate volatility affects the extent to which agents can share idiosyncratic risks through the valuation of collateral. Both private and public assets are used in insurance markets as collateral, but their exposure to volatility differs. While aggregate volatility decreases the...