advantages over traditional measures of price discovery, especially when looking at low liquidity environments, and provides a …

regulations aimed at reducing counterparty risk and improving liquidity can be ineffcient. Such regulations have a direct positive …

on liquidity in an attempt to explain the coexistence of evidence regarding both the positive and the negative impacts of … shocks, through which HFT trading patterns may sharply change. Latter regards the certain characteristics of HFT liquidity …

We derive closed form expressions for equilibrium asset prices and liquidity in an economy populated by a finite number … prices. Market liquidity is non-monotonic in funding liquidity and may decrease in the number of investors. In the presence … of liquidity shortage, price impact becomes negative and gives rise to an illiquidity premium in asset prices …

that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …