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

order flows, and exploits his speed advantage to optimize his quoting policy. We determine the provision of liquidity, order … volatility. The model predicts that volatility leads high frequency traders to reduce their provision of liquidity. Finally, we …

This paper describes regularities in the intraday spreads and prices quoted by dealers on the London Stock Exchange. It …

three major currency markets -- Tokyo, London, and New York and low during the Tokyo and London lunch hours and late …

liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time … Ratios during times of high VIX. The results point to withdrawal of liquidity supply, and an associated increase in the … expected returns from liquidity provision, as a main driver behind the evaporation of liquidity during times of financial …