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 …

between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden … liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data …, we find strong empirical support and illustrate that hidden liquidity is higher if bid-ask spreads are smaller and …

: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price … impact of liquidity trades is higher in the presence of the HFTs and is increasing with the size of the trade. In particular … PTs lose revenue in every trade intermediated by HFTs, they are compensated with a higher liquidity discount in the market …

: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price … impact of liquidity trades is higher in the presence of the HFTs and is increasing with the size of the trade. In particular … PTs lose revenue in every trade intermediated by HFTs, they are compensated with a higher liquidity discount in the market …

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …

that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …

We use a comprehensive panel of NYSE order book data to show that the liquidity and quoting efficiency improvements … associated with algorithmic trading (AT) are attributable to enhanced monitoring by liquidity providers. We find that variation … in liquidity provider monitoring uniquely explains quoting behaviors around idiosyncratic versus multi-asset price jumps …

stocks controlling for liquidity. For a given stock, dark pool activity is significantly higher on days with high share … volume, high depth, low intraday volatility, low order imbalances relative to share volume, and low absolute returns. Results … show that increased dark pool activity improves market quality measures such as spreads, depth, and short-term volatility …