We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary … supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange … intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0 …

We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary … supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange … intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0 …

Risk ; Intermediary ; Volatility …We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary … supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

trading frictions on the supply and price of liquidity. On social welfare, I show that the interaction of meeting rate …

. Tractability of the model allows us to derive natural proxies for important measures of market liquidity such as trade volume … alleviation of search frictions in one market may lead to opposite observations regarding liquidity in other markets depending on … which liquidity measure is used. For example, a reduction of search frictions in one market decreases trade volume in other …

We propose a tractable equilibrium model to examine how margin requirements affectasset prices, market volatility, and … market participants' welfare. Weshow that margin requirements can have opposite effects on market volatility whenthey … increasemarket volatility. In addition, margin requirements can make marginconstrained investors better off and canlead to a greater …

changes in financial intermediaries' balance sheets for the supply of credit, liquidity and asset prices, and, consequently …

other informational advantages. High levels of order flow toxicity can culminate in market makers providing liquidity at a … market liquidity and precede precipitous drops in asset prices. Bulk Volume VPIN (BV-VPIN) is one way of measuring the … rise in BV-VPIN effectively foreshadows high-levels of volatility in the equities indices of several countries. If a BV …

changes in financial intermediaries’ balance sheets for the supply of credit, liquidity and asset prices, and, consequently …