We investigate the role of proprietary algorithmic traders (PAT) in facilitating liquidity in a limit order market … HFT mimics the behaviour of its parent class. This is inconsistent with the theory that fast traders leave the market when … reducing the supply of liquidity during stress situations. The presence of faster traders in the market possibly instils the …

Does trader leverage drive equity market liquidity? We use the unique features of the margin trading system in India to … identify a causal relationship between traders' ability to borrow and a stock's market liquidity. To quantify the impact of … trading eligibility. We find that liquidity is higher when stocks become eligible for margin trading and that this liquidity …

variations in imperfectly-competitive liquidity provision. When measured in trade times of fixed dollar values, price impacts and …

changes carries important information about liquidity demand in the market. From this distribution of trader position …-changes, we construct a marketwide measure for intraday liquidity demand that does not necessarily depend on aggressive trading …. Using a rich regulatory dataset on S&P 500 E-mini futures and 10-year Treasury futures markets, we show that this liquidity …

book increases liquidity. We analyze whether the presence of additional DMMs results in a further improvement in liquidity …. Using data from Deutsche B ̈orse’s Xetra system we find that increases in the number of DMMs significantly improve liquidity …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

function determined by the amount of currencies supplied by the liquidity providers. Liquidity providers can be regarded as … investors in the decentralized exchange and earn fixed commissions per trade. They lock up funds in liquidity pools for distinct … pairs of currencies allowing market participants to swap them using the fixed price function. Liquidity providers take on …

Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in … evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study … aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen …