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 …

In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order … algorithmic traders who uses very low latency. The behaviour of HFT mimics the behaviour of its parent class. This is inconsistent … with the theory that fast traders leave the market when stress situations arise, although their limit order supplying …

In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order … market. We find that they rarely use liquidity removing market orders. Their ability to affect the bid-ask spread with order … following a period of high short-term volatility. This is inconsistent with the theory that fast traders leave the market when …

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 …

We study liquidity provision by competitive high-frequency trading firms (HFTs) in a dynamic trading model with private … information. Liquidity providers face adverse selection risk from trading with privately informed investors and from trading with … other HFTs that engage in latency arbitrage upon public information. The impact of the two different sources of risk depends …

This paper examines the effects of multimarket high-frequency trading (HFT) activity on liquidity co-movements across … network-wide liquidity co-movements. We use the staggered introduction of an alternative trading platform, Chi-X, in European … find that liquidity co-movements within the aggregate network of European markets significantly increase after the …

This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance …-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following …

between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden … liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data …, we find strong empirical support and illustrate that hidden liquidity is higher if bid-ask spreads are smaller and …

We measure the extent to which consolidated liquidity in modern fragmented equity markets overstates true liquidity due … to a phenomenon that we call Ghost Liquidity (GL). GL exists when traders place duplicate limit orders on competing … identified consistently across venues, we find that simply measured consolidated liquidity exceeds true consolidated liquidity …