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. …

the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid …

Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …

best prices, as well as resiliency, i.e. how fast the different liquidity measures recover after a liquidity shock. Our … results show a somewhat less favorable image of liquidity than often found in the literature. After a liquidity shock (in the … prices and beyond in the book, and between ask and bid side of the market. -- Liquidity ; Resiliency ; Limit Order Markets …

Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE … changes in rebates and requirements for DMMs, do not have any tangible effect on market liquidity. Our results are of …