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 …

costs curves and we find empirical evidences about the "pegging to the current mid-quote" behavior of the liquidity …