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 …

on liquidity in an attempt to explain the coexistence of evidence regarding both the positive and the negative impacts of … shocks, through which HFT trading patterns may sharply change. Latter regards the certain characteristics of HFT liquidity …

We analyze the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which … cost of liquidity provision were large when indeed it is small. This bluffing strategy is less effective when traders … anonymous market. For this reason, concealing limit order traders’ IDS affects market liquidity in our model. We test this …

We analyse the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which … cost of liquidity provision were large when indeed it is small. This bluffing strategy is less effective when traders … anonymous market. For this reason, concealing limit order traders’ IDs affects market liquidity in our model. We test this …

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We …