Although previous research has documented a low intraday liquidity commonality across stocks, it has grown over the … growth can be attributed to an increase in algorithmic trading; hybridization increases the 5-minute liquidity comovement by … 30 to 50%. Moreover, the effect is stronger at daily frequencies: hybridization induces a 90% higher daily liquidity co …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

, demand, and withdrawal of liquidity between the two markets. The paper also finds that cross-asset market order flow is a key … component of liquidity and price discovery, particularly during periods of market volatility …

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

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

Obtaining a unique limit order dataset provided by NYSE, we find there exits significant commonality in the liquidity …-ask spread, and how this commonality in limit order book is related with the liquidity commonality contributed by specialist firm … liquidity and market liquidity on bid- and ask-side: individual stock liquidity co-moves more with the market liquidity on the …