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Adverse selection and liquidity: from theory to practice

Kyle, Albert S.; Obižaeva, Anna - 2020

Persistent link: https://www.econbiz.de/10012494209

Who supplies liquidity, how and when?

Biais, Bruno; Declerck, Fany; Moinas, Sophie - 2016

Persistent link: https://www.econbiz.de/10011533627

Price impact of aggressive liquidity provision

Gençay, Ramazan; Mahmoodzadeh, Soheil; Rojček, Jakub; … - 2016

This paper analyzes brief episodes of high-intensity quotes turnover and revision-"bursts" in quotes-in the U.S. equity market. Such events occur very frequently, several hundred times a day for actively traded stocks. We find significant price impact associated with these market makers...

Persistent link: https://www.econbiz.de/10011516027

Trading volume and liquidity provision in cryptocurrency markets

Bianchi, Daniele; Babiak, Mykola; Dickerson, Alexander - 2022

We provide empirical evidence within the context of cryptocurrency markets that the returns from liquidity provision … liquidity provision are amplified in smaller, more volatile, and less liquid cryptocurrency pairs where fear of adverse … highlight the role of inventory risk and adverse selection for liquidity provision. …

Persistent link: https://www.econbiz.de/10013256971

Who supplies liquidity, how and when?

Biais, Bruno; Declerck, Fany; Moinas, Sophie - 2017

Persistent link: https://www.econbiz.de/10012266229

Paying for market liquidity : competition and incentives

Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2019

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 …

Persistent link: https://www.econbiz.de/10011987269

"Who supplies liquidity, how and when?"

Biais, Bruno; Declerck, Fany; Moinas, Sophie - 2017

Persistent link: https://www.econbiz.de/10011731316

Prices and informed trading : evidence from an early stock market

Acheson, Graeme G.; Coyle, Christopher; Turner, John D. - 2018

Using a novel dataset where all traders are identifiable, we examine trading in the shares of a major company on the London Stock Exchange before 1920. Our main finding is that bid-ask spreads increased in the presence of informed trades. However, we also find that spreads narrowed during...

Persistent link: https://www.econbiz.de/10011817838

Market-making with search and information frictions

Lester, Benjamin; Shourideh, Ali; Venkateswaran, Venky; … - 2018

Persistent link: https://www.econbiz.de/10011891879

Market-making with search and information frictions

Richter, Björn; Shourideh, Ali; Venkateswaran, Venky; … - 2018

Persistent link: https://www.econbiz.de/10011997790

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