We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …

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 …

placement. We introduce the concept of a liquidity elasticity, measuring the responsiveness of liquidity demand with respect to … changes in liquidity supply, as a major driver for a declining price impact per share. Empirical evidence based on Nasdaq … stocks strongly supports theoretical predictions and shows that the aspect of liquidity coor- dination is an important …

theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides … intuition for effective liquidity injection by a Lender of Last Resort …

well as, regulatory implications for a Lender of Last Resort in various liquidity scenarios …

activity and quoted liquidity for each component stock in the Toronto Stock Exchange 35 Index and for the Toronto 35 Index … Participation Shares. When volatility is conditioned on number of trades and quoted liquidity, trading volume provides no … volatility. Measures of quoted liquidity also play a significant role in explaining intra day volatility. Bid-ask spreads and …

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 …

We study the introduction of single-market liquidity provider incentives in fragmented securities markets. Specifically …, we investigate whether fee rebates for liquidity providers enhance liquidity on the introducing market and thereby … increase its competitiveness and market share. Further, we analyze whether single-market liquidity provider incentives increase …

This study examines the liquidity characteristics of market anomalies and how liquidity affects institutional trading … on those anomalies. We find that long-short portfolios based on market anomalies have pervasive liquidity exposures. For … long-horizon anomalies, the long legs of the portfolios are less liquid and suffer from deteriorating liquidity relative to …