, due to endogenous variation in liquidity provision and consumption. After controlling for this endogenity, price impacts …

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 employ a structural vector autoregression to assess the interactions between price discovery, liquidity and …. Improvements in liquidity increase a market's contribution to price discovery, and vice versa. We find that algorithmic trading …

: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price … impact of liquidity trades is higher in the presence of the HFTs and is increasing with the size of the trade. In particular … PTs lose revenue in every trade intermediated by HFTs, they are compensated with a higher liquidity discount in the market …

: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price … impact of liquidity trades is higher in the presence of the HFTs and is increasing with the size of the trade. In particular … PTs lose revenue in every trade intermediated by HFTs, they are compensated with a higher liquidity discount in the market …