We analyse the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which … cost of liquidity provision were large when indeed it is small. This bluffing strategy is less effective when traders … anonymous market. For this reason, concealing limit order traders’ IDs affects market liquidity in our model. We test this …

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must … patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained, and these patterns … execution delay in providing liquidity; their proportion in the population, which determines the degree of competition among the …

market design as the degree of transparency, the use of call auctions, the discreteness of the pricing grid and the … regulation of competition between liquidity suppliers or exchanges. …

paper evaluates the impact of dark trading and fragmentation in visible order books on liquidity. We consider global … liquidity by consolidating the limit order books of all visible trading venues, and local liquidity by considering the … traditional market only. We find that fragmentation in visible order books improves global liquidity, whereas dark trading has a …

, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. …

overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …

constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …

more sensitive to a liquidity-risk factor. Our results imply that information asymmetry has a substantial effect on asset … prices and that a primary channel linking asymmetry to prices is liquidity. …