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 …

construct an endogenous measureof systemic, non-diversi able risk capturing the cross-sectional liquidity-risk mismatch ….Consistent with the model predictions, we find that liquidity mismatch positivelypredicts prices in the D2D market whereas the cross …

national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …

its stocks. Liquidity risk is an important component in China’s corporate bond spreads. In this paper, we propose a … stochastic liquidity discount factor model to evaluate the liquidity risk premium and its term structure in China’s corporate … bond market. The Monte Carlo simulation technique is used to quantify the impact on the liquidity premium of various …