. Theory predicts this technological advantage should translate into market-wide liquidity co-variation, by transmitting … information-based liquidity shocks. Using a dataset of orders and trades from the French stock market, we investigate whether HFT … algorithms constitute a source of systematic liquidity risk. We demonstrate that, across securities, the liquidity offered by …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

necessarily be associated with improved liquidity …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …