. We employ a structural vector autoregression to assess the interactions between price discovery, liquidity and …. Improvements in liquidity increase a market's contribution to price discovery, and vice versa. We find that algorithmic trading …

We examine the effects of high frequency traders (HFTs) on liquidity using the September 2008 short sale ban. To … differences in the ban's cross-sectional impact on HFTs and non-HFTs. Non-HFTs' short selling improves liquidity, as measured by … also negatively affects liquidity. These negative liquidity effects reduce trading by non-HFTs …

order flows, and exploits his speed advantage to optimize his quoting policy. We determine the provision of liquidity, order … volatility. The model predicts that volatility leads high frequency traders to reduce their provision of liquidity. Finally, we …

expected returns and why they are better at providing liquidity. We provide an example implementation using a sample of high …