rates of return to compensate agents for their relative lack of liquidity. Consistent with empirical findings, our model …

determine asset liquidity. In our model, two asset suppliers try to profit from the liquidity services their assets confer …. Asset liquidity is indirect in the sense that assets can be sold for money in over-the-counter (OTC) secondary markets … liquidity of two assets. Asset demand curves can slope upward for evenmodest degrees of increasing returns in the matching …

state to compensate agents for their relative lack of liquidity. Second, since the difference in the yield of short and long … liquidity. …

Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the … the associations between liquidity and message traffic. Based on within-stock variation, we find that algorithmic trading … and liquidity are positively related. To sort out causality, we use the start of autoquoting on the NYSE as an exogenous …

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory …), or that they can be easily sold in a secondary market, if needed (a definition of liquidity closer to the one adopted in … finance)? We develop a model where these two notions of asset liquidity coexist, and their relative importance is determined …