messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an …. Negative messages are associated with higher adverse selection costs than positive or neutral messages. Liquidity increases …

trading and its role in the price formation process. First, we find that algorithmic trading provides liquidity when the …

Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the … the associations between liquidity and message traffic. Based on within-stock variation, we find that algorithmic trading … and liquidity are positively related. To sort out causality, we use the start of autoquoting on the NYSE as an exogenous …

We investigate how and why relative tick sizes influence traders' order strategies, and how this affects liquidity …

order books. We show that these order book commonalities are much stronger than liquidity commonality across stocks. The …

aspects of market quality: price efficiency and market liquidity.We find that CEXs provide better market quality and identify … empirically validate a stylized model of DEX liquidity provision, linking trading volume, protocol fees, and liquidity. We …

. We exploit this quasi{ natural experiment to investigate the impact this change had on liquidity and trading behavior …