This paper provides evidence of the effect of algorithmic trading (AT) in the liquidity of the Brazilian equity market …

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

This contribution addresses the impact of high-frequency electronic liquidity provision strategies on financial markets …

important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of … 'commonality in liquidity' – a term which expresses the idea that the liquidity of individual stocks may have common determinants …. We find strong evidence of commonality in liquidity in what is the first study of this phenomenon since the ASX adopted …

Speeding up the exchange does not necessarily improve liquidity. On the one hand, more speed enables a high … likely to meet liquidity traders. This raises the spread. The net effect depends on a security's news-to-liquidity …

We examine price discovery and liquidity provision in the secondary market for bitcoin-an asset with a high level of … volatility environment, aggressive orders seem to be more attractive to informed agents, but market liquidity migrates outward in …

others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They …

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 …

-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a …