Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are … more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is …

strategic motivations for the behaviour that we observe. Based on our findings, we argue that strategic liquidity providers …

the role of designated liquidity providers played by high-frequency traders (HFTs) as introduced by the forthcoming MiFID … II regulation. I find that HFTs do provide liquidity to the market, but strategically so, to avoid being adversely … selected by other fast traders when providing liquidity to them. Conversely, when they provide liquidity to slow traders, there …

Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE … changes in rebates and requirements for DMMs, do not have any tangible effect on market liquidity. Our results are of …

. Liquidity in the market may deteriorate unless high-frequency market makers fully replace low-frequency market makers in … liquidity provision. Our result suggests that some restrictions on high-frequency trading, such as minimum resting times, may … improve market liquidity by leveling the playing field among market makers with different speeds …

number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key … element is missing: liquidity also depends on (3) an asset s correlation with other securities. For example, if an illiquid … security is added, the liquidity of the non-market asset is still a decreasing function of volatility and an increasing …

Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …

financial markets provide transactional liquidity services. Our analysis is based on proprietary intraday data from U.S. futures … and their liquidity provision in periods of significantly high and persistent volatility, in periods of significantly high … in liquidity provision that we observe in an 8-month period around the 2008 Lehman bankruptcy support our main …